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Now-casting Irish GDP

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Author Info
D'Agostino, Antonello (Central Bank and Financial Services Authority of Ireland)
McQuinn, Kieran (Central Bank and Financial Services Authority of Ireland)
O'Brien, Derry (Central Bank and Financial Services Authority of Ireland)

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Abstract

In this paper we present "now-casts" of Irish GDP using timely data from a panel data set of 41 different variables. The approach seeks to resolve two issues which commonly confront forecastors of GDP - how to parsimoniously avail of the many different series, which can potentially influence GDP and how to reconcile the within-quarterly release of many of these series with the quarterly estimates of GDP? The now-casts in this paper are generated by firstly, using dynamic factor analysis to extract a common factor from the panel data set and, secondly, through use of bridging equations to relate the monthly data to the quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the results of the now-casting exercise are compared with those of a standard benchmark model.

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File URL: http://www.centralbank.ie/data/TechPaperFiles/Nowcast_tech%20Kieran%2027.11.08.pdf
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Publisher Info
Paper provided by Central Bank & Financial Services Authority of Ireland (CBFSAI) in its series Research Technical Papers with number 9/RT/08.

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Length: 24 pages
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:cbi:wpaper:9/rt/08

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E27 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation

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  1. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003. "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series 2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
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  2. Quill, Patrick, 2008. "An Analysis of Revisions to Growth Rates in the Irish Quarterly National Accounts," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2008(3-Autumn). [Downloadable!]
  3. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May. [Downloadable!] (restricted)
  4. Marie Diron, 2006. "Short-term forecasts of euro area real GDP growth - an assessment of real-time performance based on vintage data," Working Paper Series 622, European Central Bank. [Downloadable!]
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  5. McCarthy, Colm, 2004. "Volatility in Irish Quarterly Macroeconomic Data," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2004(1-Spring), pages 1-9. [Downloadable!]
  6. Bermingham, Colin, 2006. "An Examination of Data Revisions in the Quarterly National Accounts," Research Technical Papers 10/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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