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Real-time forecasts of economic activity for Latin American economies

  • Liu, Philip
  • Matheson, Troy
  • Romeu, Rafael

Macroeconomic policy decisions in real-time are based on the assessment of current and future economic conditions. Crucially, these assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are released infrequently with a (sometimes substantial) lag. This paper evaluates nowcasts and forecasts of real GDP growth using five models for ten Latin American countries. The results indicate the flow of monthly data helps to improve forecast accuracy, and the dynamic factor model consistently produces more accurate nowcasts and forecasts relative to other model specifications, across most of the countries we consider.

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 29 (2012)
Issue (Month): 4 ()
Pages: 1090-1098

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Handle: RePEc:eee:ecmode:v:29:y:2012:i:4:p:1090-1098
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  10. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
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