Nowcasting Mexico’s short-term GDP growth in real-time: a factor model versus professional forecasters

Marcelo Delajara, Federico Hernández Álvarez and Abel Rodríguez Tirado

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We introduce a novel real-time database for the Mexican economy and propose a small-scale mixed-frequency dynamic factor model for nowcasting Mexico’s short-term GDP growth in real-time. We compare our factor-based backcasts, nowcasts, and forecasts with those of the consensus of the survey of professional forecasters during the period from the second quarter of 2008 through the second quarter of 2014. Our results suggest that our factor-based backcasts, nowcasts, and forecasts outperform those of the consensus of professional forecasters in real-time comparisons despite some structural instability during the 2008–09 crisis and its aftermath in 2010.

Keywords: factor model; Mexico; nowcasting; real-time; short-term GDP growth (search for similar items in EconPapers)
JEL-codes: C53 E27 E37 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2016-10-01
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Published in Economía, 1, October, 2016, 17(1), pp. 167 - 182. ISSN: 1529-7470

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:123297

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