Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?
Author
Abstract
Suggested Citation
Note: rgc36
Download full text from publisher
References listed on IDEAS
- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
- Nymand-Andersen, Per & Pantelidis, Emmanouil, 2018. "Google econometrics: nowcasting euro area car sales and big data quality requirements," Statistics Paper Series 30, European Central Bank.
- Nikolaos Askitas & Klaus F. Zimmermann, 2009.
"Google Econometrics and Unemployment Forecasting,"
Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 55(2), pages 107-120.
- Nikos Askitas & Klaus F. Zimmermann, 2009. "Google Econometrics and Unemployment Forecasting," RatSWD Research Notes 41, German Data Forum (RatSWD).
- Nikos Askitas & Klaus F. Zimmermann, 2009. "Google Econometrics and Unemployment Forecasting," Discussion Papers of DIW Berlin 899, DIW Berlin, German Institute for Economic Research.
- Askitas, Nikos & Zimmermann, Klaus F., 2009. "Google Econometrics and Unemployment Forecasting," IZA Discussion Papers 4201, Institute of Labor Economics (IZA).
- Tuhkuri, Joonas, 2016. "Forecasting Unemployment with Google Searches," ETLA Working Papers 35, The Research Institute of the Finnish Economy.
- Konstantin A. Kholodilin & Maximilian Podstawski & Boriss Siliverstovs, 2010. "Do Google Searches Help in Nowcasting Private Consumption?: A Real-Time Evidence for the US," Discussion Papers of DIW Berlin 997, DIW Berlin, German Institute for Economic Research.
- Fondeur, Y. & Karamé, F., 2013.
"Can Google data help predict French youth unemployment?,"
Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
- Frédéric Karamé & Yannick Fondeur, 2012. "Can Google Data Help Predict French Youth Unemployment?," Documents de recherche 12-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Y. Fondeur & F. Karamé, 2013. "Can Google data help predict French youth unemployment?," Post-Print hal-02297071, HAL.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011.
"A two-step estimator for large approximate dynamic factor models based on Kalman filtering,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," PSE-Ecole d'économie de Paris (Postprint) hal-00638009, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00638009, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638009, HAL.
- Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00844811, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 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.
- G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2009. "Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 595-611.
- Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2000. "Reference Cycles: The NBER Methodology Revisited," CEPR Discussion Papers 2400, C.E.P.R. Discussion Papers.
- Domenico Giannone & Jérôme Henry & Magdalena Lalik & Michele Modugno, 2012.
"An Area-Wide Real-Time Database for the Euro Area,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1000-1013, November.
- Domenico Giannone & Jérôme Henry & Magdalena Lalik & Michèle Modugno, 2010. "An Area Wide Real Time Data Base for the Euro Area," Working Papers ECARES ECARES 2010-026, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Henry, Jérôme & Lalik, Magdalena & Modugno, Michele, 2010. "An area-wide real-time database for the euro area," Working Paper Series 1145, European Central Bank.
- Henry, Jerome & Giannone, Domenico & Lalik, Magdalena & Modugno, Michele, 2010. "An Area-Wide Real-Time Database for the Euro Area," CEPR Discussion Papers 7673, C.E.P.R. Discussion Papers.
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013.
"Now-Casting and the Real-Time Data Flow,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237,
Elsevier.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Jansen, W. Jos & Jin, Xiaowen & de Winter, Jasper M., 2016.
"Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts,"
International Journal of Forecasting, Elsevier, vol. 32(2), pages 411-436.
- Jos Jansen & Xiaowen Jin & Jasper de Winter, 2012. "Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts," DNB Working Papers 365, Netherlands Central Bank, Research Department.
- Jos Jansen, W. & Jin, Xiaowen & Winter, Jasper M. de, 2016. "Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts," Munich Reprints in Economics 43488, University of Munich, Department of Economics.
- Götz, Thomas B. & Knetsch, Thomas A., 2019.
"Google data in bridge equation models for German GDP,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 45-66.
- Götz, Thomas B. & Knetsch, Thomas A., 2017. "Google data in bridge equation models for German GDP," Discussion Papers 18/2017, Deutsche Bundesbank.
- Gary Koop & Luca Onorante, 2019. "Macroeconomic Nowcasting Using Google Probabilities☆," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 17-40, Emerald Group Publishing Limited.
- Giannone, Domenico & Reichlin, Lucrezia & Simonelli, Saverio, 2009.
"Nowcasting Euro Area Economic Activity in Real Time: The Role of Confidence Indicators,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 210, pages 90-97, October.
- Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity In Real Time: The Role Of Confidence Indicators," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 90-97, October.
- Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicators," CSEF Working Papers 240, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator," Working Papers ECARES 2009_021, ULB -- Universite Libre de Bruxelles.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107630024, November.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, January.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Frank Smets & Raf Wouters, 2004.
"Forecasting with a Bayesian DSGE Model: An Application to the Euro Area,"
Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 841-867, November.
- Smets, Frank & Wouters, Raf, 2004. "Forecasting with a Bayesian DSGE model: an application to the euro area," Working Paper Series 389, European Central Bank.
- Smets, Frank & Wouters, Rafael, 2004. "Forecasting with a Bayesian DSGE Model: An Application to the Euro Area," CEPR Discussion Papers 4749, C.E.P.R. Discussion Papers.
- Frank Smets & Raf Wouters, 2004. "Forecasting with a Bayesian DSGE Model: an application to the euro area," Working Paper Research 60, National Bank of Belgium.
- Martin D. D. Evans, 2005.
"Where Are We Now? Real-Time Estimates of the Macroeconomy,"
International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.
- Martin D. D. Evans(Georgetown University and NBER), 2005. "Where Are We Now? Real-time Estimates of the Macro Economy," Working Papers gueconwpa~05-05-02, Georgetown University, Department of Economics.
- Evans, Martin D, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," MPRA Paper 831, University Library of Munich, Germany.
- Evans, Martin D.D., 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," CEPR Discussion Papers 5270, C.E.P.R. Discussion Papers.
- Martin D.D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," NBER Working Papers 11064, National Bureau of Economic Research, Inc.
- Alessandro Girardi & Christian Gayer & Andreas Reuter, 2016.
"The Role of Survey Data in Nowcasting Euro Area GDP Growth,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 400-418, August.
- Alessandro Girardi & Andreas Reuter & Christian Gayer, 2014. "The role of survey data in nowcasting euro area GDP growth," European Economy - Economic Papers 2008 - 2015 538, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Massimiliano Marcellino & Christian Schumacher, 2010. "Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 518-550, August.
- Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
- Konstantin Kholodilin & Maximilian Podstawski & Boriss Siliverstovs, 2010. "Do Google Searches Help in Nowcasting Private Consumption?," KOF Working papers 10-256, KOF Swiss Economic Institute, ETH Zurich.
- Boivin, Jean & Ng, Serena, 2006.
"Are more data always better for factor analysis?,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
- Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
OUP Catalogue,
Oxford University Press,
edition 2, number 9780199641178.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Michele Lenza & Giorgio E. Primiceri, 2020.
"How to Estimate a VAR after March 2020,"
NBER Working Papers
27771, National Bureau of Economic Research, Inc.
- Primiceri, Giorgio & Lenza, Michele, 2020. "How to Estimate a VAR after March 2020," CEPR Discussion Papers 15245, C.E.P.R. Discussion Papers.
- Lenza, Michele & Primiceri, Giorgio E., 2020. "How to estimate a VAR after March 2020," Working Paper Series 2461, European Central Bank.
- 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.
- repec:hal:journl:peer-00844811 is not listed on IDEAS
- Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, February.
- Simeon Vosen & Torsten Schmidt, 2011.
"Forecasting private consumption: survey‐based indicators vs. Google trends,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(6), pages 565-578, September.
- Schmidt, Torsten & Vosen, Simeon, 2009. "Forecasting Private Consumption: Survey-based Indicators vs. Google Trends," Ruhr Economic Papers 155, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Harvey,Andrew C., 1991.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge Books,
Cambridge University Press, number 9780521405737, January.
- Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, January.
- Chow, Gregory C & Lin, An-loh, 1971.
"Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series,"
The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
- Tom Doan, "undated". "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
- Tom Doan, "undated". "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2013. "Pooling Versus Model Selection For Nowcasting Gdp With Many Predictors: Empirical Evidence For Six Industrialized Countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 392-411, April.
- Elena Angelini & Marta Banbura & Gerhard Rünstler, 2010.
"Estimating and forecasting the euro area monthly national accounts from a dynamic factor model,"
OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(1), pages 1-22.
- Angelini, Elena & Rünstler, Gerhard & Bańbura, Marta, 2008. "Estimating and forecasting the euro area monthly national accounts from a dynamic factor model," Working Paper Series 953, European Central Bank.
- Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
- Harvey, Andrew, 2006. "Forecasting with Unobserved Components Time Series Models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 7, pages 327-412, Elsevier.
- Marta Bańbura & Michele Modugno, 2014.
"Maximum Likelihood Estimation Of Factor Models On Datasets With Arbitrary Pattern Of Missing Data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 133-160, January.
- Bańbura, Marta & Modugno, Michele, 2010. "Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data," Working Paper Series 1189, European Central Bank.
- Petrella, Ivan & Antolin-Diaz, Juan & Drechsel, Thomas, 2021. "Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data," CEPR Discussion Papers 15926, C.E.P.R. Discussion Papers.
- Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003.
"Macroeconomic forecasting in the Euro area: Country specific versus area-wide information,"
European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
- Massimiliano Marcellino & James H. Stock & Mark W. Watson, "undated". "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Michael Biggs & Thomas Mayer & Andreas Pick, 2009. "Credit and economic recovery," DNB Working Papers 218, Netherlands Central Bank, Research Department.
- Anttonen, Jetro, 2018. "Nowcasting the Unemployment Rate in the EU with Seasonal BVAR and Google Search Data," ETLA Working Papers 62, The Research Institute of the Finnish Economy.
- David Kohns & Arnab Bhattacharjee, 2019. "Interpreting Big Data in the Macro Economy: A Bayesian Mixed Frequency Estimator," CEERP Working Paper Series 010, Centre for Energy Economics Research and Policy, Heriot-Watt University.
- 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.
- Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2010.
"A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 720-754.
- Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2009. "A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model," Finance and Economics Discussion Series 2009-10, Board of Governors of the Federal Reserve System (U.S.).
- Liebermann, Joelle, 2010.
"Real-time nowcasting of GDP: Factor model versus professional forecasters,"
MPRA Paper
28819, University Library of Munich, Germany.
- Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
- Liu, H & Hall, Stephen G, 2001. "Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 441-449, September.
- Rubaszek, Michal & Skrzypczynski, Pawel, 2008. "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 498-512.
- Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
- Tuhkuri, Joonas, 2016. "ETLAnow: A Model for Forecasting with Big Data – Forecasting Unemployment with Google Searches in Europe," ETLA Reports 54, The Research Institute of the Finnish Economy.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Satoshi Urasawa, 2023. "The Usefulness of High-Frequency Alternative Data to Obtain Nowcasts for Japan’s GDP: Evidence from Credit Card Data," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(2), pages 191-211, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013.
"Now-Casting and the Real-Time Data Flow,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237,
Elsevier.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Cascaldi-Garcia, Danilo & Ferreira, Thiago R.T. & Giannone, Domenico & Modugno, Michele, 2024.
"Back to the present: Learning about the euro area through a now-casting model,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 661-686.
- Danilo Cascaldi-Garcia & Thiago Revil T. Ferreira & Domenico Giannone & Michele Modugno, 2021. "Back to the Present: Learning about the Euro Area through a Now-casting Model," International Finance Discussion Papers 1313, Board of Governors of the Federal Reserve System (U.S.).
- Rusnák, Marek, 2016.
"Nowcasting Czech GDP in real time,"
Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
- Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank.
- Katja Heinisch & Rolf Scheufele, 2018.
"Bottom-up or direct? Forecasting German GDP in a data-rich environment,"
Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
- Katja Drechsel & Rolf Scheufele, 2012. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," Working Papers 2012-16, Swiss National Bank.
- Drechsel, Katja & Scheufele, Rolf, 2013. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," IWH Discussion Papers 7/2013, Halle Institute for Economic Research (IWH).
- Matteo Luciani & Lorenzo Ricci, 2014.
"Nowcasting Norway,"
International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 215-248, December.
- Matteo Luciani & Lorenzo Ricci, 2013. "Nowcasting Norway," Working Papers ECARES ECARES 2013-10, ULB -- Universite Libre de Bruxelles.
- Banbura, Marta & Rünstler, Gerhard, 2011.
"A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
- Bańbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346.
- Rünstler, Gerhard & Bańbura, Marta, 2007. "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series 751, European Central Bank.
- Bańbura, Marta & Belousova, Irina & Bodnár, Katalin & Tóth, Máté Barnabás, 2023. "Nowcasting employment in the euro area," Working Paper Series 2815, European Central Bank.
- Tóth, Peter, 2014.
"Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP],"
MPRA Paper
63713, University Library of Munich, Germany.
- Tóth, Peter, 2017. "Nowcasting Slovak GDP by a Small Dynamic Factor Model," MPRA Paper 77245, University Library of Munich, Germany.
- Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017.
"The role of indicator selection in nowcasting euro-area GDP in pseudo-real time,"
Empirical Economics, Springer, vol. 53(1), pages 79-99, August.
- A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
- Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper, 2016. "Forecasting and nowcasting economic growth in the euro area using factor models," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1284-1305.
- Claudia Foroni & Massimiliano Marcellino, 2013.
"A survey of econometric methods for mixed-frequency data,"
Working Paper
2013/06, Norges Bank.
- Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Kaufmann, Daniel & Scheufele, Rolf, 2017.
"Business tendency surveys and macroeconomic fluctuations,"
International Journal of Forecasting, Elsevier, vol. 33(4), pages 878-893.
- Daniel Kaufmann & Rolf Scheufele, 2015. "Business tendency surveys and macroeconomic fluctuations," KOF Working papers 15-378, KOF Swiss Economic Institute, ETH Zurich.
- Chudik, Alexander & Grossman, Valerie & Pesaran, M. Hashem, 2016.
"A multi-country approach to forecasting output growth using PMIs,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 349-365.
- Alexander Chudik & Valerie Grossman & M. Hashem Pesaran, 2014. "A multi-country approach to forecasting output growth using PMIs," Globalization Institute Working Papers 213, Federal Reserve Bank of Dallas.
- Alexander Chudik & Valerie Grossman & M. Hashem Pesaran, 2014. "A Multi-Country Approach to Forecasting Output Growth Using PMIs," CESifo Working Paper Series 5100, CESifo.
- Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2024.
"Lessons from nowcasting GDP across the world,"
Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 8, pages 187-217,
Edward Elgar Publishing.
- Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Nowcasting,"
Working Papers ECARES
ECARES 2010-021, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta, 2010. "Nowcasting," Working Paper Series 1275, European Central Bank.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2010. "Nowcasting," CEPR Discussion Papers 7883, C.E.P.R. Discussion Papers.
- Lucia Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon Potter, 2014.
"Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 483-500, October.
- Onorante, Luca & Alessi, Lucia & Ghysels, Eric & Potter, Simon & Peach, Richard, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Working Paper Series 1688, European Central Bank.
- Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.
- Konstantin Kuck & Karsten Schweikert, 2021. "Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 861-882, August.
- Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
More about this item
Keywords
nowcasting; dynamic factor model; Kalman filter; real-time high frequency alternative data; Google econometrics; COVID-19; euro area macroeconomics;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
- Y40 - Miscellaneous Categories - - Dissertations - - - Dissertations
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2020-12-07 (Macroeconomics)
- NEP-ORE-2020-12-07 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cam:camdae:20108. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jake Dyer (email available below). General contact details of provider: https://www.econ.cam.ac.uk/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.