Nowcasting Spanish GDP growth in real time: "One and a half months earlier"
AbstractThe sharp decline in economic activity registered in Spain over 2008 and 2009 has no precedents in recent history. After ten prosperous years with an average GDP growth of 3.7%, the current recession places non-judgemental forecasting models under stress. This paper evaluates the Spanish GDP nowcasting performance of combinations of small and medium-sized linear dynamic regressions with priors originating in the Bayesian VAR literature. Our forecasting procedure can be considered a timely and simple approximation to the mix of accounting tools, models and judgement used by the statistical agencies to construct aggregate GDP figures. The real time forecast evaluation conducted over the most severe phase of the recession shows that our method yields reliable real GDP growth predictions almost one and a half months before the official figures are published.
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Bibliographic InfoPaper provided by Banco de EspaÃ±a in its series Banco de EspaÃ±a Working Papers with number 1037.
Length: 57 pages
Date of creation: Dec 2010
Date of revision:
Minnesota priors; mixed estimation; forecasting;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-03 (All new papers)
- NEP-CBA-2011-01-03 (Central Banking)
- NEP-FOR-2011-01-03 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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