Nowcasting the Costa Rican Quarterly Output Growth

Kerry Loaiza-Marín ()
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Kerry Loaiza-Marín: Department of Economic Research, Central Bank of Costa Rica

No 2107, Documentos de Trabajo from Banco Central de Costa Rica

Abstract: This paper implements different econometric models (Bridge, MIDAS, factor-augmented versions, MF-BVAR models and their combination) to nowcast Costa Rican quarter-to quarter GDP growth. I exploit a comprehensive set of macroeconomic indicators to conclude that models ARIMA, Factor-VAR, unrestricted MIDAS and Bridge are consistently more precise than other specifications. Furthermore, I find that production-related variables have higher predictive power (mainly the IMAE), controlling for seasonality adds biases to the model’s forecasts, and structural breaks in the series do not affect the nowcasts. I recommend using these models and their combination in order to have up to date information for policy making decisions. ***RESUMEN: El siguiente documento implementa diversos modelos econométricos (Bridge, MIDAS, versiones aumentadas por factores, MF-VAR Bayesiano y la respectiva combinación de pronósticos) para pronosticar el crecimiento inter-trimestral del PIB costarricense en tiempo real. Con el uso de un conjunto comprehensivo de indicadores macroeconómicos, se concluye que los modelos ARIMA, Factor-VAR, MIDAS no restringido y Bridge consistentemente producen mayor precisión que otras especificaciones con técnicas alternativas. Asimismo, se observa que los índices de producción poseen mayor poder predictivo (principalmente el IMAE), que controlar por estacionalidad introduce sesgos adicionales en el pronóstico y que los quiebres estructurales presentes en las series no representan problemas. Se recomienda el uso de estos modelos y su combinación para contar con información para la toma de decisiones de política.

Keywords: Univariate and Multivariate Time-Series Models; Forecasting and Prediction Methods; Modelos univariados y multivariados de series de tiempo, Métodos de pronóstico (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 (search for similar items in EconPapers)
Pages: 103 pages
Date: 2022-02
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Persistent link: https://EconPapers.repec.org/RePEc:apk:doctra:2107

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