Nowcasting in the presence of large measurement errors and revisions

Martin Weale and Paul Labonne ()

Economic Statistics Centre of Excellence (ESCoE) Discussion Papers from Economic Statistics Centre of Excellence (ESCoE)

Abstract: This paper extends the temporal disaggregation approach of Labonne and Weale (2020) to tackle another feature of the VAT data: the delay and highly noisy nature of the early figures. The main contribution of this paper lies in the presentation and illustration of a cleaning method which can deal with non-Gaussian features in the distribution of measurement errors such as asymmetry and extreme observations.

Keywords: cleaning; fat tails; measurement errors; nowcasting; score driven model (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2022-03
New Economics Papers: this item is included in nep-dem and nep-ecm
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