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Now-casting Irish GDP

  • D'Agostino, Antonello

    (Central Bank and Financial Services Authority of Ireland)

  • McQuinn, Kieran

    (Central Bank and Financial Services Authority of Ireland)

  • O'Brien, Derry

    (Central Bank and Financial Services Authority of Ireland)

In this paper we present "now-casts" of Irish GDP using timely data from a panel data set of 41 different variables. The approach seeks to resolve two issues which commonly confront forecastors of GDP - how to parsimoniously avail of the many different series, which can potentially influence GDP and how to reconcile the within-quarterly release of many of these series with the quarterly estimates of GDP? The now-casts in this paper are generated by firstly, using dynamic factor analysis to extract a common factor from the panel data set and, secondly, through use of bridging equations to relate the monthly data to the quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the results of the now-casting exercise are compared with those of a standard benchmark model.

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Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 9/RT/08.

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Length: 24 pages
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:cbi:wpaper:9/rt/08
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  1. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 0276, European Central Bank.
  2. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Discussion Papers of DIW Berlin 970, DIW Berlin, German Institute for Economic Research.
  3. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.
  4. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
  5. Angelini, Elena & Camba-Mendez, Gonzalo & Giannone, Domenico & Reichlin, Lucrezia & Rünstler, Gerhard, 2008. "Short-term Forecasts of Euro Area GDP Growth," CEPR Discussion Papers 6746, C.E.P.R. Discussion Papers.
  6. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2007. "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers 6043, C.E.P.R. Discussion Papers.
  7. Quill, Patrick, 2008. "An Analysis of Revisions to Growth Rates in the Irish Quarterly National Accounts," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2008(3-Autumn).
  8. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, vol. 27(1), pages 304-314, January.
  9. Bermingham, Colin, 2006. "An Examination of Data Revisions in the Quarterly National Accounts," Research Technical Papers 10/RT/06, Central Bank of Ireland.
  10. McCarthy, Colm, 2004. "Volatility in Irish Quarterly Macroeconomic Data," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2004(1-Spring), pages 1-9.
  11. Liebermann, Joelle, 2010. "Real-time nowcasting of GDP: Factor model versus professional forecasters," MPRA Paper 28819, University Library of Munich, Germany.
  12. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
  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.
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