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Investment Nowcasting. A Real-Time Estimate with High Frequency Indicators

Author

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  • Fiorella Dogliolo

    (Central Bank of Argentina, UNLP)

Abstract

In this paper I present a real-time estimation of the evolution of the Investment, constructed from a broad set of high frequency economic indicators: known in the literature as Nowcasting. The Nowcast exercise was developed considering three groups of monthly indicators throughout dynamic factor models to forecast Investment growth. Additionally, I conducted a forecast-pooling exercise. Using the Giacomini and White test it was possible to conclude that factor models and the pooling exhibit a better relative predictive capacity than an AR(1) model considered as a benchmark. Furthermore, the inclusion of more indicators does not necessarily improve the predictive capacity.

Suggested Citation

  • Fiorella Dogliolo, 2018. "Investment Nowcasting. A Real-Time Estimate with High Frequency Indicators," BCRA Working Paper Series 201878, Central Bank of Argentina, Economic Research Department.
    • Handle: RePEc:bcr:wpaper:201878
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    More about this item

    Keywords

    nowcasting; dynamic factor models; real-time forecasting; forecast pooling;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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