Arbeitspapier
Nowcasting GDP with a large factor model space
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and time-varying volatility. In addition, we develop a fast estimation algorithm. This enables us to generate nowcasts based on a large factor model space. We apply the suggested framework to nowcast German GDP. Our recursive out-of-sample forecast evaluation results reveal that our framework is able to generate forecasts superior to those obtained from a naive and more competitive benchmark models. These forecast gains seem to emerge especially during unstable periods, such as the Great Recession, but also remain over more tranquil periods.
- ISBN
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978-3-95729-641-2
- Language
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Englisch
- Bibliographic citation
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Series: Deutsche Bundesbank Discussion Paper ; No. 41/2019
- Classification
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Subject
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dynamic factor model
forecasting
GDP
mixed-frequency
model averaging
time-varying-parameter
- Event
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Geistige Schöpfung
- (who)
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Eraslan, Sercan
Schröder, Maximilian
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eraslan, Sercan
- Schröder, Maximilian
- Deutsche Bundesbank
Time of origin
- 2019
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