IDEAS home Printed from https://ideas.repec.org/a/kap/empiri/v52y2025i4d10.1007_s10663-025-09656-0.html
   My bibliography  Save this article

Nowcasting economic activity in a small open CESEE economy using mixed frequency data

Author

Listed:
  • Jan Radovan

    (Banka Slovenije
    University of Ljubljana)

  • Igor Masten

    (University of Ljubljana)

Abstract

This paper compares advanced nowcasting methods within the data context typical for small open CESEE economies, characterised by a limited set of mixed frequency and ragged edge domestic and international high frequency indicators. In nowcasting Slovenian real GDP growth, we evaluate bridge equation models, MIDAS models, MF-VAR models, the DFM, and the MF-3PRF. We also explore the benefits of model combinations, indicator preselection, and the role of news within the DFM. We find that factor models, particularly the DFM, perform best in this setting. Combining DFM and MF-3PRF nowcasts proves effective in periods of moderate volatility in real GDP growth. No model strongly favours a large scale information set, while using a smaller set shows greater variability. Within the DFM, news from both international environment related indicators and domestic hard data shows considerable importance for nowcasting in small open economies. Expanding the evaluation sample to include Covid-19 data further reinforces the DFM’s dominance, while the MF-3PRF’s performance declines. During this period, the relative importance of news from certain indicator categories increases compared to the original evaluation sample.

Suggested Citation

  • Jan Radovan & Igor Masten, 2025. "Nowcasting economic activity in a small open CESEE economy using mixed frequency data," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 52(4), pages 721-776, November.
    • Handle: RePEc:kap:empiri:v:52:y:2025:i:4:d:10.1007_s10663-025-09656-0
    DOI: 10.1007/s10663-025-09656-0
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10663-025-09656-0
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10663-025-09656-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:empiri:v:52:y:2025:i:4:d:10.1007_s10663-025-09656-0. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.