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DFROG: A nowcasting model for GDP growth

Author

Listed:
  • Dorinth van Dijk
  • Mick van Rooijen
  • Jasper de Winter

Abstract

This paper presents DFROG, the “nowcasting†model employed by De Nederland- sche Bank (DNB) to generate near-term forecasts of the quarter-on-quarter growth rate of Gross Domestic Product (GDP). The core concept of DFROG is that the co- movement of a potentially large set of monthly economic indicators can be sum- marized into a few factors, which can then be used to forecast GDP growth. We compare the forecast accuracy of DFROG with several benchmark models and pro- fessional analysts, and conduct a thorough review of the model’s optimal specifica- tion.

Suggested Citation

  • Dorinth van Dijk & Mick van Rooijen & Jasper de Winter, 2024. "DFROG: A nowcasting model for GDP growth," Working Papers 819, DNB.
    • Handle: RePEc:dnb:dnbwpp:819
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    More about this item

    Keywords

    nowcasting; dynamic factor model;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • 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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