Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions

被引：9

作者：

Anesti, Nikoleta ^{[1
]}

Galvao, Ana Beatriz ^{[2
]}

Miranda-Agrippino, Silvia ^{[1
]}

机构：

[1] Bank England, Monetary Anal, London, England

[2] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2022年 / 37卷 / 01期

关键词：

Dynamic Factor Model; Data Revisions; Nowcasting; REAL-TIME DATA; AUTOREGRESSIVE MODELS; OUTPUT GROWTH; GDP; TESTS; ACCURACY;

D O I：

10.1002/jae.2845

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a release-augmented dynamic factor model (RA-DFM) that allows to quantify the role of a country's data flow in nowcasting both early Gross Domestic Product (GDP) releases and subsequent revisions of official estimates. We use the RA-DFM to study UK GDP early revision rounds and assemble a comprehensive and novel mixed-frequency dataset that features 12 years of real-time data vintages. The RA-DFM improves over the standard DFM in real time when forecasting the first release each quarter. Economic and survey data help to predict the first revision round.

引用

页码：42 / 62

页数：21

共 41 条

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