Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts

W. Jos Jansen, Xiaowen Jin and Jasper M. de Winter

Munich Reprints in Economics from University of Munich, Department of Economics

Abstract: We conduct a systematic comparison of the short-term forecasting abilities of twelve statistical models and professional analysts in a pseudo-real-time setting, using a large set of monthly indicators. Our analysis covers the euro area and its five largest countries over the years 1996-2011. We find summarizing the available monthly information in a few factors to be a more promising forecasting strategy than averaging a large number of single-indicator-based forecasts. Moreover, it is important to make use of all available monthly observations. The dynamic factor model is the best model overall, particularly for nowcasting and backcasting, due to its ability to incorporate more information (factors). Judgmental forecasts by professional analysts often embody valuable information that could be used to enhance the forecasts derived from purely mechanical procedures. (C) 2015 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Date: 2016
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Citations: View citations in EconPapers (40)

Published in International Journal of forecasting 2 32(2016): pp. 411-436

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Journal Article: Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts (2016)
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