Nowcasting Irish GDP

Antonello D'Agostino, Kieran McQuinn and Derry O'Brien

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we present a dynamic factor model that produces nowcasts and backcasts of Irish quarterly GDP using timely data from a panel dataset of 35 indicators. We apply a recently developed methodology, whereby numerous potentially useful indicator series for Irish GDP can be availed of in a parsimonious manner and the unsynchronized nature of the release calendar for a wide range of higher frequency indicators can be handled. The nowcasts in this paper are generated by using dynamic factor analysis to extract common factors from the panel dataset. Bridge equations are then used to relate these factors to quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the performance of the factor model is compared with that of a standard benchmark model.

Keywords: GDP; Forecasting; Factors (search for similar items in EconPapers)
JEL-codes: C33 C53 E52 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Nowcasting Irish GDP (2012)
Working Paper: Now-casting Irish GDP (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:32941

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