Uncertain Kingdom: nowcasting GDP and its revisions

Nikoleta Anesti (), Ana Galvão and Silvia Miranda-Agrippino
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Nikoleta Anesti: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH

No 764, Bank of England working papers from Bank of England

Abstract: We propose a Release-Augmented Dynamic Factor Model (RA-DFM) that allows to quantify the role of a country’s data flow in nowcasting both early GDP releases, and subsequent revisions of official estimates. We use the RA-DFM to study UK GDP early revision rounds, and assemble a comprehensive and novel mixed-frequency dataset that features over 10 years of real-time data vintages. The RA-DFM improves over the standard DFM in real-time when forecasting the first release each quarter, and economic and survey data help forecasting the first revision round. Afterwards, the predictive content of the data flow is largely exhausted.

Keywords: Nowcasting; data revisions; dynamic factor model (search for similar items in EconPapers)
JEL-codes: C51 C53 C55 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2018-11-02, Revised 2020-01-31
New Economics Papers: this item is included in nep-ecm, nep-eec and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Uncertain Kingdom: Nowcasting GDP and its Revisions (2018)
Working Paper: Uncertain kingdom: nowcasting GDP and its revisions (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0764

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