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Real-time nowcasting the US output gap: Singular spectrum analysis at work

Miguel de Carvalho () and António Rua

International Journal of Forecasting, 2017, vol. 33, issue 1, 185-198

Abstract: We explore a new approach for nowcasting the output gap based on singular spectrum analysis. Resorting to real-time vintages, a recursive exercise is conducted in order to assess the real-time reliability of our approach for nowcasting the US output gap, relative to some well-known benchmark models. For our application of interest, the preferred version of our approach is a multivariate singular spectrum analysis, where we use a Fisher g test to infer which components, within the standard business cycle range, should be included in the grouping step. We find that singular spectrum analysis provides a reliable assessment of the cyclical position of the economy in real time, with the multivariate approach outperforming its univariate counterpart substantially.

Keywords: Band-pass filter; Fisher g test; Multivariate singular spectrum analysis; Singular spectrum analysis; US output gap; Real-time data (search for similar items in EconPapers)
Date: 2017
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Working Paper: Real-time nowcasting the US output gap: Singular spectrum analysis at work (2014) Downloads
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Handle: RePEc:eee:intfor:v:33:y:2017:i:1:p:185-198