GDP nowcasting with ragged-edge data: a semi-parametric modeling

Laurent Ferrara, Dominique Guegan () and Patrick Rakotomarolahy ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Patrick Rakotomarolahy: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This paper formalizes the process of forecasting unbalanced monthly datasets in order to obtain robust nowcasts and forecasts of quarterly gross domestic product (GDP) growth rate through a semi-parametric modeling. This innovative approach lies in the use of non-parametric methods, based on nearest neighbors and on radial basis function approaches, to forecast the monthly variables involved in the parametric modeling of GDP using bridge equations. A real-time experience is carried out on euro area vintage data in order to anticipate, with an advance ranging from 6 to 1 months, the GDP flash estimate for the whole zone.

Keywords: euro; area; GDP; •; real-time; nowcasting; •; forecasting; •; non-parametric; methods (search for similar items in EconPapers)
Date: 2010-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00460461v1
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Citations: View citations in EconPapers (17)

Published in Journal of Forecasting, 2010, 29 (1-2), pp.186-199. ⟨10.1002/for.1159⟩

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Related works:
Journal Article: GDP nowcasting with ragged-edge data: a semi-parametric modeling (2010)
Working Paper: GDP nowcasting with ragged-edge data: a semi-parametric modeling (2010)
Working Paper: GDP nowcasting with ragged-edge data: A semi-parametric modelling (2009)
Working Paper: GDP nowcasting with ragged-edge data: A semi-parametric modelling (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00460461

DOI: 10.1002/for.1159

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