Real-time nowcasting of GDP: Factor model versus professional forecasters

Joëlle Liebermann ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper performs a fully real-time nowcasting (forecasting) exercise of US real gross domestic product (GDP) growth using Giannone, Reichlin and Small (2008) factor model framework which enables one to handle unbalanced datasets as available in real-time. To this end, we have constructed a novel real-time database of vintages from October 2000 to June 2010 for a rich panel of US variables, and can hence reproduce, for any given day in that range, the exact information that was available to a real-time forecaster. We track the daily evolution throughout the current and next quarter of the model nowcasting performance. Analogously to Giannone et al. (2008) pseudo real-time results, we find that the precision of the nowcasts increases with information releases. Furthermore, the Survey of Professional Forecasters (SPF) does not carry additional information with respect to the model best specification, suggesting that the often cited superiority of the SPF, attributable to judgment, is weak over our sample. Then, as one moves forward along the real-time data flow, the continuous updating of the model provides a more precise estimate of current quarter GDP growth and the SPF becomes stale compared to all the model specifications. These results are robust to the recent recession period.

Keywords: Real-time data; Nowcasting; Forecasting; Factor model (search for similar items in EconPapers)
JEL-codes: C33 C53 E52 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-cba and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28819

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