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

Laurent Ferrara (), Dominique Guegan () and Patrick Rakotomarolahy ()
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Laurent Ferrara: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Banque de France - Business Conditions and Macroeconomic Forecasting Directorate
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

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Abstract: This papier formalizes the process of forecasting unbalanced monthly data sets in order to obtain robust nowcasts and forecasts of quarterly GDP growth rate through a semi-parametric modelling. This innovative approach lies on the use on non-parametric methods, based on nearest neighbors and on radial basis function approaches, ti forecast the monthly variables involved in the parametric modelling 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 six to one months, the GDP flash estimate for the whole zone.

Keywords: non-parametric models; Euro area GDP; real-time nowcasting; forecasting; non-parametric models.; Zone Euro; prévisions; PIB; méthodes non-paramétriques. (search for similar items in EconPapers)
Date: 2009-11
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00344839v2
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Published in 2009

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00344839

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