Nowcasting Austrian Short Term Statistics

Fröhlich Markus ()
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Fröhlich Markus: Statistics Austria, Guglgasse 13, 1140Vienna, Austria.
Authors registered in the RePEc Author Service: Markus Frölich ()

Journal of Official Statistics, 2018, vol. 34, issue 2, 503-522

Abstract: Early estimates for Austrian short term indices were produced using multivariate time-series models. The article presents a simulation study with different models (vector error correction models, vector autoregressive models in levels – both with unadjusted and seasonally adjusted time-series) used for estimating total turnover, production, etc. In a preliminary step, before time-series were provided for nowcasting, the data had to undergo an editing process. In this case a time-series approach was selected for data-editing as well, because of the very specific structure of Austrian enterprises. For this task basically the seasonal adjustment program X13Arima-Seats was used for identifying and replacing outlying observations, imputation of missing values and generating univariate forecasts for every single time series.

Keywords: Nowcast; cointegration; outlier adjustment; vector error correction models; (seasonal) unit-roots (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:offsta:v:34:y:2018:i:2:p:503-522:n:11

DOI: 10.2478/jos-2018-0023

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