Nowcasting del PIB argentino a través de un modelo de corrección de errores flexible

Nowcasting Argentine's GDP through a flexible error correction model

Luis Frank

MPRA Paper from University Library of Munich, Germany

Abstract: The article proposes a nowcasting model to estimate Argentina's seasonally adjusted Monthly Estimator of Economic Activity (EMAE) using a reduced set of high-frequency economic variables (tax revenue, Portland cement dispatches, automobile sales, and electricity demand), available with a 5–7-day lag, covering data from January 2015 to June 2025. A traditional error correction model (ECM) is compared with a flexible version (FECM) that incorporates time-varying coefficients. The FECM, with $\lambda=1$, outperforms the ECM in accuracy (MAPE of 0.35 versus 1.04). Electricity demand and cement production are the most relevant indicators, while tax revenue has a lower impact. However, it is recommended to retain all variables, as their contribution depends on their joint inclusion. Additionally, a hybrid model that recursively updates parameters is proposed, offering an efficient alternative for real-time economic monitoring.

Keywords: nowcasting; flexible ECM; Argentina; GDP (search for similar items in EconPapers)
JEL-codes: C13 C53 (search for similar items in EconPapers)
Date: 2025-10-20
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:126543

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