Using the flow of conjectural information for short term forecasting of economic activity in Argentina

We exploit the richness of a large data set of daily and monthly business cycle indicators by combining them to produce nowcast of contemporaneous real GDP growth as well as forecast. Nowcast outperforms two benchmark models: the one-quarter ahead forecast of an AR(1) in the previous quarter and pre...

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Autores principales: D'Amato, Laura, Garegnani, María Lorena, Blanco, Emilio
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2009
Materias:
Ciencias Económicas
indicators
real GDP growth
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/170447
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SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-170447
record_format dspace
spelling I19-R120-10915-1704472024-09-20T20:43:35Z http://sedici.unlp.edu.ar/handle/10915/170447 Using the flow of conjectural information for short term forecasting of economic activity in Argentina D'Amato, Laura Garegnani, María Lorena Blanco, Emilio 2009-11 2009 2024-09-20T16:45:57Z en Ciencias Económicas indicators real GDP growth We exploit the richness of a large data set of daily and monthly business cycle indicators by combining them to produce nowcast of contemporaneous real GDP growth as well as forecast. Nowcast outperforms two benchmark models: the one-quarter ahead forecast of an AR(1) in the previous quarter and previous quarter actual value of GDP growth used as current value predictor. When we combine indicators to produce forecasts, the RMSE forecast pooling outperforms the AR(1) benchmark model predictions at the 3, 6 and 12 month horizons. The methodology offers a valuable approach for providing timely information for policy decision making. Explotamos la riqueza de un gran conjunto de indicadores del ciclo de frecuencia diaria y mensual para producir predicciones en tiempo real y pronósticos del crecimiento del producto real en Argentina. Las predicciones en tiempo real superan en capacidad predictiva a dos predictores usados como benchmark: el pronóstico de un AR(1) en el trimestre previo y el propio valor observado en ese trimestre. El pronóstico fuera de la muestra utilizando ponderaciones basadas en RMSE supera al modelo AR(1) en capacidad predictiva. La metodología ofrece una alternativa valiosa para proveer información en tiempo para la toma de decisiones de política económica. 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
indicators
real GDP growth
spellingShingle Ciencias Económicas
indicators
real GDP growth
D'Amato, Laura
Garegnani, María Lorena
Blanco, Emilio
Using the flow of conjectural information for short term forecasting of economic activity in Argentina
topic_facet Ciencias Económicas
indicators
real GDP growth
description We exploit the richness of a large data set of daily and monthly business cycle indicators by combining them to produce nowcast of contemporaneous real GDP growth as well as forecast. Nowcast outperforms two benchmark models: the one-quarter ahead forecast of an AR(1) in the previous quarter and previous quarter actual value of GDP growth used as current value predictor. When we combine indicators to produce forecasts, the RMSE forecast pooling outperforms the AR(1) benchmark model predictions at the 3, 6 and 12 month horizons. The methodology offers a valuable approach for providing timely information for policy decision making.
format Objeto de conferencia
Objeto de conferencia
author D'Amato, Laura
Garegnani, María Lorena
Blanco, Emilio
author_facet D'Amato, Laura
Garegnani, María Lorena
Blanco, Emilio
author_sort D'Amato, Laura
title Using the flow of conjectural information for short term forecasting of economic activity in Argentina
title_short Using the flow of conjectural information for short term forecasting of economic activity in Argentina
title_full Using the flow of conjectural information for short term forecasting of economic activity in Argentina
title_fullStr Using the flow of conjectural information for short term forecasting of economic activity in Argentina
title_full_unstemmed Using the flow of conjectural information for short term forecasting of economic activity in Argentina
title_sort using the flow of conjectural information for short term forecasting of economic activity in argentina
publishDate 2009
url http://sedici.unlp.edu.ar/handle/10915/170447
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AT garegnanimarialorena usingtheflowofconjecturalinformationforshorttermforecastingofeconomicactivityinargentina
AT blancoemilio usingtheflowofconjecturalinformationforshorttermforecastingofeconomicactivityinargentina
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