Uncertain Kingdom
Nowcasting Gross Domestic Product and its revisions
Bibliographic Data
| ID | 21653584 |
|---|---|
| Authors | Nikoleta Anesti (0000-0003-2562-8462, Monetary Analysis Bank of England London UK), Ana Beatriz Galvão (0000-0003-3263-9450, Warwick Business School University of Warwick Coventry UK, corresponding author), Silvia Miranda‐Agrippino (0000-0002-6260-2133, Monetary Analysis Bank of England London UK) |
| Year | 2022 |
| Volume | 37 |
| Issue | 1 |
| Pages | 42-62 |
| Publication date | 2022-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.2845 |
| OpenAlex | W3178189951 |
| Language | EN |
| Citations received | 2 |
| References cited | 36 |
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
Design for manufacturability · Dynamic factor · Econometrics · Economics · Geography · Gross domestic product · Macroeconomics · Meteorology · Nowcasting · Real gross domestic product · Computer Science · Economic, financial, and policy analysis · Engineering · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
Approximately normal tests for equal predictive accuracy in nested models
Tests of Conditional Predictive Ability
Nowcasting
Determining the Number of Factors in Approximate Factor Models
Testing the equality of prediction mean squared errors
Unspanned Macroeconomic Factors in the Yield Curve
A State Space Approach to Extracting the Signal From Uncertain Data
Nowcasting GDP in Real Time
Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
VAR Estimation and Forecasting When Data Are Subject to Revision
Tracking the Slowdown in Long-Run GDP Growth
The Use and Abuse of Real-Time Data in Economic Forecasting
UK Real‐Time Macro Data Characteristics
| Unique citing works | 2 |
|---|---|
| Citations per year | 0.67 |
| Citation span | 2023 - 2025 (3) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 2 |