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Nowcasting the Costa Rican Quarterly Output Growth

Author

Listed:
  • Kerry Loaiza-Marín

    (Department of Economic Research, Central Bank of Costa Rica)

Abstract

This paper implements different econometric models (Bridge, MIDAS, factor-augmented versions, MF-BVAR models and their combination) to nowcast Costa Rican quarter-to quarter GDP growth. I exploit a comprehensive set of macroeconomic indicators to conclude that models ARIMA, Factor-VAR, unrestricted MIDAS and Bridge are consistently more precise than other specifications. Furthermore, I find that production-related variables have higher predictive power (mainly the IMAE), controlling for seasonality adds biases to the model’s forecasts, and structural breaks in the series do not affect the nowcasts. I recommend using these models and their combination in order to have up to date information for policy making decisions. ***RESUMEN: El siguiente documento implementa diversos modelos econométricos (Bridge, MIDAS, versiones aumentadas por factores, MF-VAR Bayesiano y la respectiva combinación de pronósticos) para pronosticar el crecimiento inter-trimestral del PIB costarricense en tiempo real. Con el uso de un conjunto comprehensivo de indicadores macroeconómicos, se concluye que los modelos ARIMA, Factor-VAR, MIDAS no restringido y Bridge consistentemente producen mayor precisión que otras especificaciones con técnicas alternativas. Asimismo, se observa que los índices de producción poseen mayor poder predictivo (principalmente el IMAE), que controlar por estacionalidad introduce sesgos adicionales en el pronóstico y que los quiebres estructurales presentes en las series no representan problemas. Se recomienda el uso de estos modelos y su combinación para contar con información para la toma de decisiones de política.

Suggested Citation

  • Kerry Loaiza-Marín, 2022. "Nowcasting the Costa Rican Quarterly Output Growth," Documentos de Trabajo 2107, Banco Central de Costa Rica.
    • Handle: RePEc:apk:doctra:2107
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    File URL: https://repositorioinvestigaciones.bccr.fi.cr/handle/20.500.12506/358
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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