Economics at your fingertips  

Nowcasting Mexican GDP using Factor Models and Bridge Equations

Oscar Galvez-Soriano

No 2018-06, Working Papers from Banco de México

Abstract: This paper evaluates five Nowcasting models that forecast Mexico's quarterly GDP: a Dynamic Factor Model (MFD), two Bridge Equation Models (BE) and two Principal Components Models (PCA). The results indicate that the average of the BE forecasts is statistically better than the rest of the models under consideration, according to the Diebold-Mariano (1995) accuracy test. In addition, using real-time information, the BE average is found to be more accurate than the median of the forecasts provided by the analysts surveyed by Bloomberg and the median of the experts who answer Banco de México's Survey of Professional Forecasters.

Keywords: Nowcasting; Dynamic Factor Model; Bridge Equations; Principal Component Analysis; Quarterly GDP; Diebold-Mariano test (search for similar items in EconPapers)
JEL-codes: C32 C38 C53 E52 (search for similar items in EconPapers)
Date: 2018-06
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... -D0B9BE3D75C6%7D.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from Banco de México Contact information at EDIRC.
Bibliographic data for series maintained by Subgerencia de desarrollo de sistemas ().

Page updated 2023-12-22
Handle: RePEc:bdm:wpaper:2018-06