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Un indicador de la evolución del PIB uruguayo en tiempo real

Author

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  • Helena Rodríguez

    (Banco Central del Uruguay)

Abstract

Timely forecasts and assessment of economic activity are crucial for policy making. In Uruguay, the Gross Domestic Product (GDP) is published on a quarterly basis with a lag of about three months. In this paper we build a dynamic factor model to compute nowcasts and short-term forecasts of quarterly GDP exploiting the information available in various activity indicators that are published on a monthly basis. The predictive ability of the model yields better performance than other benchmark models for short-term forecasts. Moreover, forecasting errors decrease as new information becomes available.

Suggested Citation

  • Helena Rodríguez, 2014. "Un indicador de la evolución del PIB uruguayo en tiempo real," Documentos de trabajo 2014009, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2014009
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/9.2014.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    real time forecasting; dynamic factor model; Uruguay;
    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
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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