Tracking India Growth in Real Time
AbstractTracking growth in the Indian economy would be best performed using a measure like GDP. Unfortunately official estimates of this indicator are released with quarterly frequency and with considerable delay. This paper compares different approaches to the short term forecasting (nowcasting) of real GDP growth in India and evaluates methods to optimally gauge the current state of the economy. Univariate quarterly models are compared with bridge models that exploit the available monthly indicators containing information on current quarter developments. In the forecasting exercise we perform a pseudo real-time simulation: by properly taking into account the actual publication lags of the series, we replicate the information set available to the policymaker at each point of time. We find that bridge models perform satisfactorily in predicting current quarter GDP growth. This result follows from the actual estimation technique used to construct the official quarterly national accounts, still largely dependent on a narrow information set. Our analysis also suggests mixed evidences about the additional predictive power of Indian survey data with respect to the hard data already used in the national accounts.
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Bibliographic InfoPaper provided by National Institute of Public Finance and Policy in its series Working Papers with number 11/90.
Date of creation: Jul 2011
Date of revision:
Note: Working Paper 90, 2011
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Web page: http://www.nipfp.org.in
Nowcasting ; Bridge model ; Factor model ; Emerging markets ; India;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- 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
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