The nowcast revision analysis extended

Fumio Hayashi and Yuta Tachi

Economics Letters, 2021, vol. 209, issue C

Abstract: The nowcast revision analysis is about the effect of new observations, data revisions, and parameter changes on a nowcast of a fixed target variable. Previously, only the new-observations effect can be broken down by variable. We provide a method for doing the same for the data-revisions and parameter-revisions effects as well. The method is applied to the COVID-battered U.S. GDP growth from 2020:Q1 to Q2.

Keywords: Nowcast revision analysis; Kalman recursion; Affine function (search for similar items in EconPapers)
JEL-codes: C53 E17 E37 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517652100389X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:209:y:2021:i:c:s016517652100389x

DOI: 10.1016/j.econlet.2021.110112

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().