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Uncertain Kingdom : nowcasting GDP and its revisions
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Anesti, Nikoleta, Galvão, Ana Beatriz and Miranda-Agrippino, Silvia (2022) Uncertain Kingdom : nowcasting GDP and its revisions. Journal of Applied Econometrics, 37 (1). pp. 42-62. doi:10.1002/jae.2845 ISSN 0883-7252.
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Official URL: https://doi.org/10.1002/jae.2845
Abstract
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 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, and economic and survey data help forecasting the first revision round. Afterwards, the predictive content of the data flow is largely exhausted.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions |
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Gross domestic product , Gross domestic product -- Forecasting -- Great Britain, Econometrics , Economic forecasting -- Great Britain | ||||||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
ISSN: | 0883-7252 | ||||||||
Official Date: | January 2022 | ||||||||
Dates: |
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Volume: | 37 | ||||||||
Number: | 1 | ||||||||
Page Range: | pp. 42-62 | ||||||||
DOI: | 10.1002/jae.2845 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | This is the peer reviewed version of the following article:Anesti, N, Galvão, AB, Miranda-Agrippino, S. Uncertain Kingdom: Nowcasting GDP and its Revisions. J Appl Econ. 2021. Accepted Author Manuscript, which has been published in final form at https://doi.org/10.1002/jae.2845. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 5 January 2021 | ||||||||
Date of first compliant Open Access: | 9 July 2022 | ||||||||
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