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Real-Time Probabilistic Nowcasts Of Uk Quarterly Gdp Growth Using A Mixed-Frequency Bottom-Up Approach

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  • Galvão, Ana Beatriz
  • Lopresto, Marta

Abstract

We propose a nowcasting system to obtain real-time predictive intervals for the first-release of UK quarterly GDP growth that can be implemented in a menu-driven econometric software. We design a bottom-up approach: forecasts for GDP components (from the output and the expenditure approaches) are inputs into the computation of probabilistic forecasts for GDP growth. For each GDP component considered, mixed-data-sampling regressions are applied to extract predictive content from monthly and quarterly indicators. We find that predictions from the nowcasting system are accurate, in particular when nowcasts are computed using monthly indicators 30 days before the GDP release. The system is also able to provide well-calibrated predictive intervals.

Suggested Citation

  • Galvão, Ana Beatriz & Lopresto, Marta, 2020. "Real-Time Probabilistic Nowcasts Of Uk Quarterly Gdp Growth Using A Mixed-Frequency Bottom-Up Approach," National Institute Economic Review, National Institute of Economic and Social Research, vol. 254, pages 1-11, November.
    • Handle: RePEc:cup:nierev:v:254:y:2020:i::p:r1-r11_4
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    References listed on IDEAS

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    1. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.
    2. Nikoleta Anesti & Ana Beatriz Galvao & Silvia Miranda-Agrippino, 2018. "Uncertain Kingdom: Nowcasting GDP and its Revisions," Discussion Papers 1824, Centre for Macroeconomics (CFM).
    3. Michael P. Clements, 2017. "Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 420-433, July.
    4. Mitchell, James, 2009. "Where are we now? The UK Recession and Nowcasting GDP Growth Using Statistical Models," National Institute Economic Review, National Institute of Economic and Social Research, vol. 209, pages 60-69, July.
    5. Croushore, Dean, 2006. "Forecasting with Real-Time Macroeconomic Data," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 17, pages 961-982, Elsevier.
    6. Clements, Michael P & Galvão, Ana Beatriz, 2008. "Macroeconomic Forecasting With Mixed-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 546-554.
    7. Michael P. Clements & Ana Beatriz Galvão, 2013. "Real‐Time Forecasting Of Inflation And Output Growth With Autoregressive Models In The Presence Of Data Revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 458-477, April.
    8. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
    9. Patrick C. Higgins, 2014. "GDPNow: A Model for GDP \"Nowcasting\"," FRB Atlanta Working Paper 2014-7, Federal Reserve Bank of Atlanta.
    10. Michael P Clements & Ana Beatriz Galvao, 2017. "Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables," ICMA Centre Discussion Papers in Finance icma-dp2017-01, Henley Business School, University of Reading.
    11. Anesti, Nikoleta & Hayes, Simon & Moreira, Andre & Tasker, James, 2017. "Peering into the present: the Bank’s approach to GDP nowcasting," Bank of England Quarterly Bulletin, Bank of England, vol. 57(2), pages 122-133.
    12. James Mitchell & Richard J. Smith & Martin R. Weale & Stephen Wright & Eduardo L. Salazar, 2005. "An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth," Economic Journal, Royal Economic Society, vol. 115(501), pages 108-129, February.
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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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