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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
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WRAP-Uncertain-Kingdom-nowcasting-GDP-revisions-Galvão-2020.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only until 9 July 2022. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Download (1220Kb) |
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 | ||||||||
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