Nowcasting GDP in Argentina: comparing the predictive ability of different models

Having a correct assessment of current business cycle conditions is one of the mayor challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic c...

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Autores principales: Ruiz y Blanco, Emilio R., D'Amato, Laura, Dogliolo, Fiorella, Garegnani, María Lorena
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2017
Materias:
Ciencias Económicas
nowcasting
dynamic factor models
forecast pooling
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/169606
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-169606
record_format dspace
spelling I19-R120-10915-1696062024-09-04T20:08:26Z http://sedici.unlp.edu.ar/handle/10915/169606 Nowcasting GDP in Argentina: comparing the predictive ability of different models Ruiz y Blanco, Emilio R. D'Amato, Laura Dogliolo, Fiorella Garegnani, María Lorena 2017-11 2017 2024-09-04T15:23:07Z en Ciencias Económicas nowcasting dynamic factor models forecast pooling Having a correct assessment of current business cycle conditions is one of the mayor challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. We develop a GDP growth Nowcasting exercise using a broad and restricted set of indicators to construct different models including dynamic factor models as well as a FAVAR. We compare their relative forecasting ability using the Giacomini and White (2004) and find no significant difference in predictive ability among them. Nevertheless a combination of them proves to significantly improve predictive performance. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
nowcasting
dynamic factor models
forecast pooling
spellingShingle Ciencias Económicas
nowcasting
dynamic factor models
forecast pooling
Ruiz y Blanco, Emilio R.
D'Amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
Nowcasting GDP in Argentina: comparing the predictive ability of different models
topic_facet Ciencias Económicas
nowcasting
dynamic factor models
forecast pooling
description Having a correct assessment of current business cycle conditions is one of the mayor challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. We develop a GDP growth Nowcasting exercise using a broad and restricted set of indicators to construct different models including dynamic factor models as well as a FAVAR. We compare their relative forecasting ability using the Giacomini and White (2004) and find no significant difference in predictive ability among them. Nevertheless a combination of them proves to significantly improve predictive performance.
format Objeto de conferencia
Objeto de conferencia
author Ruiz y Blanco, Emilio R.
D'Amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
author_facet Ruiz y Blanco, Emilio R.
D'Amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
author_sort Ruiz y Blanco, Emilio R.
title Nowcasting GDP in Argentina: comparing the predictive ability of different models
title_short Nowcasting GDP in Argentina: comparing the predictive ability of different models
title_full Nowcasting GDP in Argentina: comparing the predictive ability of different models
title_fullStr Nowcasting GDP in Argentina: comparing the predictive ability of different models
title_full_unstemmed Nowcasting GDP in Argentina: comparing the predictive ability of different models
title_sort nowcasting gdp in argentina: comparing the predictive ability of different models
publishDate 2017
url http://sedici.unlp.edu.ar/handle/10915/169606
work_keys_str_mv AT ruizyblancoemilior nowcastinggdpinargentinacomparingthepredictiveabilityofdifferentmodels
AT damatolaura nowcastinggdpinargentinacomparingthepredictiveabilityofdifferentmodels
AT dogliolofiorella nowcastinggdpinargentinacomparingthepredictiveabilityofdifferentmodels
AT garegnanimarialorena nowcastinggdpinargentinacomparingthepredictiveabilityofdifferentmodels
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