DFROG: A nowcasting model for GDP growth

Dorinth van Dijk, Mick van Rooijen and Jasper de Winter

Working Papers from DNB

Abstract: This paper presents DFROG, the “nowcasting†model employed by De Nederland- sche Bank (DNB) to generate near-term forecasts of the quarter-on-quarter growth rate of Gross Domestic Product (GDP). The core concept of DFROG is that the co- movement of a potentially large set of monthly economic indicators can be sum- marized into a few factors, which can then be used to forecast GDP growth. We compare the forecast accuracy of DFROG with several benchmark models and pro- fessional analysts, and conduct a thorough review of the model’s optimal specifica- tion.

Keywords: nowcasting; dynamic factor model (search for similar items in EconPapers)
JEL-codes: C33 C53 E37 (search for similar items in EconPapers)
Date: 2024-11
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:819

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