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GDP nowcasting with ragged-edge data: a semi-parametric modeling

  • Laurent Ferrara

    (Banque de France, Business Conditions and Macroeconomic Forecasting Directorate, Paris, France)

  • Dominique Guégan

    (Paris School of Economics, CES-MSE, Université Paris 1 Panthéon-Sorbonne, Banque de France, Paris, France)

  • Patrick Rakotomarolahy

    (CES-MSE, University of Paris 1 Panthéon-Sorbonne, Paris, France)

This paper formalizes the process of forecasting unbalanced monthly datasets in order to obtain robust nowcasts and forecasts of quarterly gross domestic product (GDP) growth rate through a semi-parametric modeling. This innovative approach lies in the use of non-parametric methods, based on nearest neighbors and on radial basis function approaches, to forecast the monthly variables involved in the parametric modeling of GDP using bridge equations. A real-time experience is carried out on euro area vintage data in order to anticipate, with an advance ranging from 6 to 1 months, the GDP flash estimate for the whole zone. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1159
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 1-2 ()
Pages: 186-199

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Handle: RePEc:jof:jforec:v:29:y:2010:i:1-2:p:186-199
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. D'Agostino, Antonello & Giannone, Domenico & Surico, Paolo, 2007. "(Un)Predictability and Macroeconomic Stability," CEPR Discussion Papers 6594, C.E.P.R. Discussion Papers.
  2. Domenico Giannone & Lucrezia Reichlin & David Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
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  7. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 0712, European Central Bank.
  8. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
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  11. 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 0622, European Central Bank.
  12. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
  13. 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.
  14. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
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