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Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise

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Cited by:

  1. Valle e Azevedo, João & Pereira, Ana, 2013. "Approximating and forecasting macroeconomic signals in real-time," International Journal of Forecasting, Elsevier, vol. 29(3), pages 479-492.
  2. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
  3. António Rua & Paulo Esteves, 2012. "Short-term forecasting for the portuguese economy: a methodological overview," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  4. Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter, 2014. "Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components," Tinbergen Institute Discussion Papers 14-113/III, Tinbergen Institute.
  5. Michele Modugno & Lucrezia Reichlin & Domenico Giannone & Marta Banbura, 2012. "Nowcasting with Daily Data," 2012 Meeting Papers 555, Society for Economic Dynamics.
  6. António Rua & Carlos Melo Gouveia & Nuno Lourenço, 2020. "Forecasting tourism with targeted predictors in a data-rich environment," Working Papers w202005, Banco de Portugal, Economics and Research Department.
  7. repec:dau:papers:123456789/10079 is not listed on IDEAS
  8. Jos Jansen & Jasper de Winter, 2016. "Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries," DNB Working Papers 507, Netherlands Central Bank, Research Department.
  9. 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.
  10. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
  11. 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.
  12. 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.
  13. Lahiri, Kajal & Monokroussos, George, 2013. "Nowcasting US GDP: The role of ISM business surveys," International Journal of Forecasting, Elsevier, vol. 29(4), pages 644-658.
  14. 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.
  15. Mikosch, Heiner & Solanko, Laura, 2017. "Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators," BOFIT Discussion Papers 19/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
  16. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
  17. Liebermann, Joëlle, 2012. "Short-term forecasting of quarterly gross domestic product growth," Quarterly Bulletin Articles, Central Bank of Ireland, pages 74-84, February.
  18. Christian Glocker & Philipp Wegmueller, 2020. "Business cycle dating and forecasting with real-time Swiss GDP data," Empirical Economics, Springer, vol. 58(1), pages 73-105, January.
  19. Doll, Jens & Rosenthal, Beatrice & Volkenand, Jonas & Hamella, Sandra, 2017. "Nowcasting des deutschen BIP," Weidener Diskussionspapiere 59, University of Applied Sciences Amberg-Weiden (OTH).
  20. Pinkwart, Nicolas, 2018. "Short-term forecasting economic activity in Germany: A supply and demand side system of bridge equations," Discussion Papers 36/2018, Deutsche Bundesbank.
  21. 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.
  22. Schwarzmüller, Tim, 2015. "Model pooling and changes in the informational content of predictors: An empirical investigation for the euro area," Kiel Working Papers 1982, Kiel Institute for the World Economy (IfW Kiel).
  23. 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.
  24. Andrejs Bessonovs, 2015. "Suite of Latvia's GDP forecasting models," Working Papers 2015/01, Latvijas Banka.
  25. David Havrlant & Peter Tóth & Julia Wörz, 2016. "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-72.
  26. Francisco Dias & Cláudia Duarte & António Rua, 2010. "Inflation expectations in the euro area: are consumers rational?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 591-607, September.
  27. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting industrial production: the role of information and methods," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 227-235, Bank for International Settlements.
  28. Esteves, Paulo Soares, 2013. "Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice," Economic Modelling, Elsevier, vol. 33(C), pages 416-420.
  29. Grimme, Christian & Lehmann, Robert & Noeller, Marvin, 2021. "Forecasting imports with information from abroad," Economic Modelling, Elsevier, vol. 98(C), pages 109-117.
  30. Mahmut Günay, 2015. "Forecasting Turkish Industrial Production Growth With Static Factor Models," International Econometric Review (IER), Econometric Research Association, vol. 7(2), pages 64-78, September.
  31. Lopez-Buenache, German, 2019. "The evolution of monetary policy effectiveness under macroeconomic instability," Economic Modelling, Elsevier, vol. 83(C), pages 221-233.
  32. Heiner Mikosch & Laura Solanko, 2019. "Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 19-35, March.
  33. 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.
  34. Francisco Dias & Maximiano Pinheiro & António Rua, 2018. "A bottom-up approach for forecasting GDP in a data-rich environment," Applied Economics Letters, Taylor & Francis Journals, vol. 25(10), pages 718-723, June.
  35. 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.
  36. Ana Pereira & João Valle e Azevedo, 2008. "Approximating Macroeconomic Signals in Real-Time in the Euro Area," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  37. Dahlhaus, Tatjana & Guénette, Justin-Damien & Vasishtha, Garima, 2017. "Nowcasting BRIC+M in real time," International Journal of Forecasting, Elsevier, vol. 33(4), pages 915-935.
  38. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014. "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 48-68, January.
  39. Roman Horvath, 2012. "Do Confidence Indicators Help Predict Economic Activity? The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 398-412, November.
  40. 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.
  41. an de Meulen, Philipp, 2015. "Das RWI-Kurzfristprognosemodell," RWI Konjunkturberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, vol. 66(2), pages 25-46.
  42. 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.
  43. Matteo Luciani & Lorenzo Ricci, 2014. "Nowcasting Norway," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 215-248, December.
  44. Heinisch, Katja, 2024. "Step by step - A quarterly evaluation of EU Commission's GDP forecasts," IWH Discussion Papers 22/2024, Halle Institute for Economic Research (IWH).
  45. 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.
  46. Dimitra Lamprou, 2015. "Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 13(1), pages 85-100.
  47. Germán López, 2015. "Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies," Working Papers. Serie AD 2015-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  48. Caruso, Alberto, 2018. "Nowcasting with the help of foreign indicators: The case of Mexico," Economic Modelling, Elsevier, vol. 69(C), pages 160-168.
  49. Cristea, R. G., 2020. "Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?," Cambridge Working Papers in Economics 20108, Faculty of Economics, University of Cambridge.
  50. Alberto Caruso, 2015. "Nowcasting Mexican GDP," Working Papers ECARES ECARES 2015-40, ULB -- Universite Libre de Bruxelles.
  51. Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers 11/90, National Institute of Public Finance and Policy.
  52. António Rua & Francisco Craveiro Dias & Maximiano Pinheiro, 2014. "Forecasting Portuguese GDP with factor models," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  53. Caruso, Alberto, 2019. "Macroeconomic news and market reaction: Surprise indexes meet nowcasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1725-1734.
  54. Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth, 2015. "Small-scale nowcasting models of GDP for selected CESEE countries," Working and Discussion Papers WP 4/2015, Research Department, National Bank of Slovakia.
  55. Danilo Leiva-Leon & Gabriel Perez-Quiros & Eyno Rots, 2020. "Real-time weakness of the global economy: a first assessment of the coronavirus crisis," Working Papers 2015, Banco de España.
  56. Siliverstovs, Boriss, 2017. "Dissecting models' forecasting performance," Economic Modelling, Elsevier, vol. 67(C), pages 294-299.
  57. Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018. "Macroeconomic Nowcasting and Forecasting with Big Data," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
  58. Alessandro Borin & Riccardo Cristadoro & Roberto Golinelli & Giuseppe Parigi, 2012. "Forecasting world output: the rising importance of emerging economies," Temi di discussione (Economic working papers) 853, Bank of Italy, Economic Research and International Relations Area.
  59. Lourenço, Nuno & Gouveia, Carlos Melo & Rua, António, 2021. "Forecasting tourism with targeted predictors in a data-rich environment," Economic Modelling, Elsevier, vol. 96(C), pages 445-454.
  60. Kitlinski, Tobias & an de Meulen, Philipp, 2015. "The role of targeted predictors for nowcasting GDP with bridge models: Application to the Euro area," Ruhr Economic Papers 559, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  61. Bańbura, Marta & Belousova, Irina & Bodnár, Katalin & Tóth, Máté Barnabás, 2023. "Nowcasting employment in the euro area," Working Paper Series 2815, European Central Bank.
  62. Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
  63. António Rua, 2011. "A wavelet approach for factor‐augmented forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 666-678, November.
  64. Martin Feldkircher & Florian Huber & Josef Schreiner & Marcel Tirpák & Peter Tóth & Julia Wörz, 2015. "Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 56-75.
  65. António Rua & Nuno Lourenço & Francisco Dias, 2018. "Forecasting exports with targeted predictors," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  66. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
  67. repec:zbw:bofitp:2017_019 is not listed on IDEAS
  68. Anna Norin, 2011. "Nowcasting of the Gross Regional Product," ERSA conference papers ersa10p768, European Regional Science Association.
  69. Schumacher, Christian, 2016. "A comparison of MIDAS and bridge equations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 257-270.
  70. Mikosch, Heiner & Solanko, Laura, 2017. "Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators," BOFIT Discussion Papers 19/2017, Bank of Finland, Institute for Economies in Transition.
  71. Dias, Francisco & Pinheiro, Maximiano & Rua, António, 2015. "Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence," Economic Modelling, Elsevier, vol. 44(C), pages 266-272.
  72. Ard Reijer & Andreas Johansson, 2019. "Nowcasting Swedish GDP with a large and unbalanced data set," Empirical Economics, Springer, vol. 57(4), pages 1351-1373, October.
  73. Blasques, F. & Koopman, S.J. & Mallee, M. & Zhang, Z., 2016. "Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 405-417.
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