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Nowcasting GDP in Argentina: Comparing the Predictive Ability of Different Models

Author

Listed:
  • Emilio Blanco

    (Central Bank of Argentina, UBA)

  • Laura D’Amato

    (Central Bank of Argentina, UBA)

  • Fiorella Dogliolo

    (Central Bank of Argentina, UNLP)

  • Lorena Garegnani

    (Central Bank of Argentina, UNLP)

Abstract

Having a correct assessment of current business cycle conditions is one of the major challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. We develop a GDP growth Nowcasting exercise using a broad and restricted set of indicators to construct different models including dynamic factor models as well as a FAVAR. We compare their relative forecasting ability using the Giacomini and White (2004) test and find no significant difference in predictive ability among them. Nevertheless a combination of them proves to significantly improve predictive performance.

Suggested Citation

  • Emilio Blanco & Laura D’Amato & Fiorella Dogliolo & Lorena Garegnani, 2017. "Nowcasting GDP in Argentina: Comparing the Predictive Ability of Different Models," BCRA Working Paper Series 201774, Central Bank of Argentina, Economic Research Department.
    • Handle: RePEc:bcr:wpaper:201774
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    Citations

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    Cited by:

    1. Juan Carlos Carlo Santos, 2019. "Pronósticos del PIB mediante modelos de factores dinámicos," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 30(1), pages 125-174, January -.

    More about this item

    Keywords

    nowcasting; dynamic factor models; forecast pooling;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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