Real-time nowcasting of nominal GDP with structural breaks

DOI10.1016/J.JECONOM.2015.12.004MaRDI QIDQ5964705zbMATH OpenOpenAlexFDO

Authors William A. Barnett, Marcelle Chauvet, Danilo Leiva-Leon

Publication date 1 March 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.12.004

zbMATH Keywords

missing datastructural breaksnonlinearmixed frequencyreal-timemonetary policynowcastingdynamic factorragged edges

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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Cites work

• A real-time data set for macroeconomists
• A test for independence based on the correlation dimension
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• Are more data always better for factor analysis?
• Chapter 1 Dating Business Cycle Turning Points
• Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
• Dynamic linear models with Markov-switching
• Economic monetary aggregates. An application of index number and aggregation theory
• Estimation and comparison of multiple change-point models
• Forecasting economic time series using targeted predictors
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
• Nonstationarities and Markov switching models
• Nowcasting causality in mixed frequency vector autoregressive models
• Tests of equal forecast accuracy and encompassing for nested models
• The Model Confidence Set

Cited in

(10)

• Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
• The case for Divisia monetary statistics: a Bayesian time-varying approach
• GDP nowcasting with ragged-edge data: a semi-parametric modeling
• Markov-Switching Three-Pass Regression Filter
• Nowcasting using mixed frequency methods: an application to the Scottish economy
• Estimation of common factors under cross-sectional and temporal aggregation constraints: Nowcasting monthly GDP and its main components
• Nowcasting from disaggregates in the face of location shifts
• An SVAR approach to evaluation of monetary policy in India: solution to the exchange rate puzzles in an open economy
• Chinese Divisia monetary index and GDP nowcasting
• Nowcasting real GDP for Saudi Arabia

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