Advanced Search
MyIDEAS: Login to save this paper or follow this series

Nowcasting Irish GDP

Contents:

Author Info

  • D'Agostino, Antonello
  • McQuinn, Kieran
  • O'Brien, Derry

Abstract

In this paper we present a dynamic factor model that produces nowcasts and backcasts of Irish quarterly GDP using timely data from a panel dataset of 35 indicators. We apply a recently developed methodology, whereby numerous potentially useful indicator series for Irish GDP can be availed of in a parsimonious manner and the unsynchronized nature of the release calendar for a wide range of higher frequency indicators can be handled. The nowcasts in this paper are generated by using dynamic factor analysis to extract common factors from the panel dataset. Bridge equations are then used to relate these factors to quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the performance of the factor model is compared with that of a standard benchmark model.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/32941/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 32941.

as in new window
Length:
Date of creation: 2011
Date of revision:
Handle: RePEc:pra:mprapa:32941

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: GDP; Forecasting; Factors;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print, HAL hal-00844811, HAL.
  2. Kitchen, John & Monaco, Ralph, 2003. "Real-Time Forecasting in Practice: The U.S. Treasury Staff's Real-Time GDP Forecast System," MPRA Paper 21068, University Library of Munich, Germany, revised Oct 2003.
  3. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2005. "The generalised dynamic factor model: one sided estimation and forecasting," ULB Institutional Repository 2013/10129, ULB -- Universite Libre de Bruxelles.
  4. Elena Angelini & Gonzalo Camba-Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2008. "Short-Term Forecasts of Euro Area GDP Growth," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2008-035, ULB -- Universite Libre de Bruxelles.
  5. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  6. Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series, European Central Bank 0622, European Central Bank.
  7. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5178, C.E.P.R. Discussion Papers.
  8. Bermingham, Colin, 2006. "An Examination of Data Revisions in the Quarterly National Accounts," Research Technical Papers 10/RT/06, Central Bank of Ireland.
  9. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 304-314, January.
  10. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series, European Central Bank 0276, European Central Bank.
  11. 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), Economic and Social Research Institute (ESRI), vol. 2008(3-Autumn).
  12. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Discussion Papers of DIW Berlin 970, DIW Berlin, German Institute for Economic Research.
  13. McCarthy, Colm, 2004. "Volatility in Irish Quarterly Macroeconomic Data," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), Economic and Social Research Institute (ESRI), vol. 2004(1-Spring), pages 1-9.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Conefrey, Thomas & Liebermann, Joelle, 2013. "A Monthly Business Cycle Indicator for Ireland," Economic Letters 03/EL/13, Central Bank of Ireland.
  2. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 188-205, September.
  3. Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Nowcasting," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2010-021, ULB -- Universite Libre de Bruxelles.
  4. Michele Modugno & Lucrezia Reichlin & Domenico Giannone & Marta Banbura, 2012. "Nowcasting with Daily Data," 2012 Meeting Papers, Society for Economic Dynamics 555, Society for Economic Dynamics.
  5. Boriss Siliverstovs & Konstantin A. Kholodilin, 2012. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(4), pages 429-444, July.
  6. Lucrezia Reichlin, 2010. "Comment on "Globalization, the Business Cycle, and Macroeconomic Monitoring"," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 287-298 National Bureau of Economic Research, Inc.
  7. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  8. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers, Central Bank of Luxembourg 75, Central Bank of Luxembourg.
  9. Sabel, C.E. & Kihal, W. & Bard, D. & Weber, C., 2013. "Creation of synthetic homogeneous neighbourhoods using zone design algorithms to explore relationships between asthma and deprivation in Strasbourg, France," Social Science & Medicine, Elsevier, Elsevier, vol. 91(C), pages 110-121.
  10. Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, 09.
  11. Liebermann, Joelle, 2010. "Real-time nowcasting of GDP: Factor model versus professional forecasters," MPRA Paper 28819, University Library of Munich, Germany.
  12. Liebermann, Joëlle, 2012. "Short-term forecasting of quarterly gross domestic product growth," Quarterly Bulletin Articles, Central Bank of Ireland, pages 74-84, February.
  13. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers, Central Bank of Luxembourg 82, Central Bank of Luxembourg.
  14. Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers, National Institute of Public Finance and Policy 11/90, National Institute of Public Finance and Policy.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:32941. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.