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Real-time forecasts of economic activity for Latin American economies

Philip Liu (), Troy Matheson () and Rafael Romeu ()

Economic Modelling, 2012, vol. 29, issue 4, 1090-1098

Abstract: Macroeconomic policy decisions in real-time are based on the assessment of current and future economic conditions. Crucially, these assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are released infrequently with a (sometimes substantial) lag. This paper evaluates nowcasts and forecasts of real GDP growth using five models for ten Latin American countries. The results indicate the flow of monthly data helps to improve forecast accuracy, and the dynamic factor model consistently produces more accurate nowcasts and forecasts relative to other model specifications, across most of the countries we consider.

Keywords: Nowcasting; Short-term forecasting; Real-time data; Latin America (search for similar items in EconPapers)
JEL-codes: C51 C53 E17 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Real-time Forecasts of Economic Activity for Latin American Economies (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:4:p:1090-1098

DOI: 10.1016/j.econmod.2012.03.020

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