The Library
Advances in nowcasting economic activity : the role of heterogeneous dynamics and fat tails
Tools
Drechsel, Thomas, Antolin-Diaz, Juan and Petrella, Ivan (2024) Advances in nowcasting economic activity : the role of heterogeneous dynamics and fat tails. Journal of Econometrics, 238 (2). 105634. doi:10.1016/j.jeconom.2023.105634 ISSN 0304-4076.
PDF
WRAP-advances-nowcasting-economic-activity-role-heterogeneous-dynamics-fat-tails-Petrella-2024.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only until 23 December 2025. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (2677Kb) |
Official URL: https://doi.org/10.1016/j.jeconom.2023.105634
Abstract
A key question for households, firms, and policy makers is: how is the economy doing now? This paper develops a Bayesian dynamic factor model that allows for nonlinearities, heterogeneous lead–lag patterns and fat tails in macroeconomic data. Explicitly modeling these features changes the way that different indicators contribute to the real-time assessment of the state of the economy, and substantially improves the out-of-sample performance of this class of models. In a formal evaluation, our nowcasting framework beats benchmark econometric models and professional forecasters at predicting US GDP growth in real time.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
||||||||
Library of Congress Subject Headings (LCSH): | Macroeconomics, Economic forecasting , Econometrics , Distributed lags (Economics), Macroeconomics -- Econometric models | ||||||||
Journal or Publication Title: | Journal of Econometrics | ||||||||
Publisher: | Elsevier BV | ||||||||
ISSN: | 0304-4076 | ||||||||
Official Date: | January 2024 | ||||||||
Dates: |
|
||||||||
Volume: | 238 | ||||||||
Number: | 2 | ||||||||
Article Number: | 105634 | ||||||||
DOI: | 10.1016/j.jeconom.2023.105634 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 7 December 2023 | ||||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |