Nowcasting from disaggregates in the face of location shifts

DOI10.1002/FOR.1140zbMATH Open1205.91126OpenAlexW2049138183MaRDI QIDQ3065504FDOQ3065504

Authors: Jennifer L. Castle, David F. Hendry 

Publication date: 6 January 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:64947162-8350-4345-aee9-434b8189d34e

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zbMATH Keywords

nowcastingrobust forecastsautometricslocation shiftsdisaggregate informationimpulse saturation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• The Generalized Dynamic Factor Model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Estimating and Testing Linear Models with Multiple Structural Changes
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• Pooling of forecasts
• Robustifying forecasts from equilibrium-correction systems
• Automatic selection of indicators in a fully saturated regression
• Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
• Forecasting with equilibrium-correction models during structural breaks

Cited In (4)

• The nowcast revision analysis extended
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Stock index return forecasting: the information of the constituents
• Nowcasting using mixed frequency methods: an application to the Scottish economy

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