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Real-Time Nowcasting of GDP: A Factor Model vs. Professional Forecasters

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  • Joelle Liebermann

Abstract

type="main" xml:id="obes12047-abs-0001"> We perform a fully real-time nowcasting (forecasting) exercise of US GDP growth using Giannone et al.'s (2008) factor model framework. To this end, we have constructed a real-time database of vintages from 1997 to 2010 for a panel of variables, enabling us to reproduce, for any given day in that range, the exact information that was available to a real-time forecaster. We track the daily evolution of the model performance along the real-time data flow and find that the precision of the nowcasts increases with information releases and the model fares well relative to the Survey of Professional Forecasters (SPF).

Suggested Citation

  • Joelle Liebermann, 2014. "Real-Time Nowcasting of GDP: A Factor Model vs. Professional Forecasters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(6), pages 783-811, December.
  • Handle: RePEc:bla:obuest:v:76:y:2014:i:6:p:783-811
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    File URL: http://hdl.handle.net/10.1111/obes.2014.76.issue-6
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    Cited by:

    1. repec:eee:intfor:v:33:y:2017:i:4:p:786-800 is not listed on IDEAS
    2. João Valle e Azevedo & Inês Maria Gonçalves, 2015. "Macroeconomic Forecasting Starting from Survey Nowcasts," Working Papers w201502, Banco de Portugal, Economics and Research Department.
    3. Jos Jansen & Jasper de Winter, 2016. "Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries," DNB Working Papers 507, Netherlands Central Bank, Research Department.
    4. Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper, 2016. "Forecasting and nowcasting economic growth in the euro area using factor models," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1284-1305.
    5. Bragoli, Daniela & Modugno, Michele, 2017. "A now-casting model for Canada: Do U.S. variables matter?," International Journal of Forecasting, Elsevier, vol. 33(4), pages 786-800.
    6. Bragoli, Daniela, 2017. "Now-casting the Japanese economy," International Journal of Forecasting, Elsevier, vol. 33(2), pages 390-402.
    7. repec:spr:reaccs:v:23:y:2018:i:1:d:10.1007_s11142-017-9436-9 is not listed on IDEAS
    8. repec:anr:reveco:v:10:y:2018:p:615-643 is not listed on IDEAS
    9. Yutaka Kurihara, 2016. "Can the Disparity between GDP and GDP Forecast Cause Economic Instability? The Recent Japanese Case," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 2(8), pages 155-160, 08-2016.
    10. Carabias, Jose M., 2018. "The real-time information content of macroeconomic news: implications for firm-level earnings expectations," LSE Research Online Documents on Economics 86399, London School of Economics and Political Science, LSE Library.
    11. Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018. "Macroeconomic Nowcasting and Forecasting with Big Data," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
    12. Beber, Alessandro & Brandt, Michael W. & Luisi, Maurizio, 2015. "Distilling the macroeconomic news flow," Journal of Financial Economics, Elsevier, vol. 117(3), pages 489-507.
    13. Smith Paul, 2016. "Nowcasting UK GDP during the depression," Working Papers 1606, University of Strathclyde Business School, Department of Economics.

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