Subscribe to DSC Newsletter

New Research Technical Paper - "NowCasting" Irish GDP - Central Bank of Ireland

PLEASE SEE THE REFERENCES IN THE COMMENTS BELOW TO GET THE WHOLE STORY

THIS IS A 'BLEEDING EDGE' "TECHNOLOGY" DEVELOPED BETWEEN BRUSSELS AND DUBLIN; BUT DREAMED UP BY THE ECB; viz;-

Recent studies undertaken by the ECB show that the so-called mixed frequency models, which are based on the use of monthly, quarterly and annual budgetary data, can provide forecasts of fiscal variables that are in some respects superior to methods relying exclusively on annual or quarterly data. Specifically, the three-frequency structure of these models allows to now cast quarterly figures by using monthly fiscal statistics and in turn to use quarterly and monthly figures to now cast annual data. Therefore, provided data are not taken at face value, a set of intra-annual fiscal data may provide useful information for those in charge of the monitoring of budget execution.

 

source: Public finances in EMU - 2011

Now-casting Irish GDP
Antonello D’Agostino, Kieran McQuinn and Derry O’Brien

Within individual quarters of the year, the approach, enables the data flow on monthly information during the quarter to be exploited. A pseudo-real time data approach is followed in that the data availability situation, which exists at each quarter is replicated for the model estimates. In evaluating the now-casting model, we perform an out of sample simulation where the estimates of the model are compared with that of a benchmark approach. We find that the mean squared forecast errors for both the now-casts and the back-casts are considerably smaller than those of the benchmark model. Unsurprisingly, the later in the quarter the now-cast or the backcast is generated, the more accurate the estimate is relative to the observed series.

http://www.centralbank.ie/data/TechPaperFiles/Nowcast_tech%20Kieran...

simpler url link below (although the one above should work !!!)

http://ideas.repec.org/p/pra/mprapa/32941.html

I was originally interested in this approach becasue of my search for pragmatic approaches to Stress Testing and my interest in Layering Macroeconomic heuristics; but here (see the references below) we see that 'NowCasting' is a methodology almost; its a hybrid compromise or tractioning of DSGE models for Reduced Form Positivist purposes, just my kind of thing! 

Views: 242

Tags: Fiscal_Rules, NowCasting, Political_Economics, REH, asymptotix

Comment

You need to be a member of AnalyticBridge to add comments!

Join AnalyticBridge

Comment by John A Morrison on August 6, 2012 at 1:07am
Comment by John A Morrison on August 6, 2012 at 1:02am
Comment by John A Morrison on August 6, 2012 at 12:59am

Pooling versus model selection for nowcasting GDP with many predict...

Empirical evidence for six industrialized countrie

Comment by John A Morrison on August 6, 2012 at 12:51am

Nowcasting
Marta Banbura, European Central Bank,
Domenico Giannone, Université Libre de Bruxelles, CEPR
Lucrezia Reichlin, London Business School, CEPR
Frankfurt, 5-6 March 2010

Comment by John A Morrison on August 6, 2012 at 12:48am

Nowcasting
Domenico Giannone, Université Libre de Bruxelles, CEPR
6th Eurostat Colloquium on ”Modern Tools for Business Cycle
Analysis: the lessons from global economic crisis´´,
Luxembourg 27th September 2010

Comment by John A Morrison on August 6, 2012 at 12:28am
Comment by John A Morrison on August 6, 2012 at 12:11am

Integrating Legacy DSGE models with Reduced Form Macro-Financial Me...

HOW, WHAT & WHY WOULD YOU WANT TO (IN NO PARTICULAR ORDER) ....

 

 

Comment by John A Morrison on August 6, 2012 at 12:09am
Comment by John A Morrison on August 6, 2012 at 12:05am

FURTHER REFERENCES TO THE NOW-CASTING COMPROMISE

Monitoring and forecasting annual public deficit every month: the c...

Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters

http://www.financialregulator.ie/publications/Documents/03RT11.pdf

GDP nowcasting with ragged-edge data : A semi-parametric modelling

Density nowcasts and model combination: nowcasting Euro-area GDP gr...

Nowcasting
Marta Banbura, European Central Bank
Domenico Giannone, Universite libre de Bruxelles, ECARES and CEPR
Lucrezia Reichlin, London Business School and CEPR
May 25, 2010

Real-Time Nowcasting of GDP: Factor Model versus Professional Forec...

Joelle Liebermann

On Data Science Central

© 2019   AnalyticBridge.com is a subsidiary and dedicated channel of Data Science Central LLC   Powered by

Badges  |  Report an Issue  |  Privacy Policy  |  Terms of Service