Nowcasting from disaggregates in the face of location shifts
Given a need for nowcasting, we consider how nowcasts can best be achieved, the use and timing of information, including disaggregation over variables and common features, and the role of automatic model selection for nowcasting missing disaggregates. We focus on the impact of location shifts on now...
| Main Authors: | , |
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| 格式: | Journal article |
| 出版: |
Wiley
2010
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| _version_ | 1826276053935456256 |
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| author | Castle, J Hendry, D |
| author_facet | Castle, J Hendry, D |
| author_sort | Castle, J |
| collection | OXFORD |
| description | Given a need for nowcasting, we consider how nowcasts can best be achieved, the use and timing of information, including disaggregation over variables and common features, and the role of automatic model selection for nowcasting missing disaggregates. We focus on the impact of location shifts on nowcast failure and nowcasting during breaks, using impulse saturation, its relation to intercept correction, and to robust methods to avoid systematic nowcast failure. We propose a nowcasting strategy, building models of all N disaggregate series by automatic methods, forecasting every variable each period, then testing for shifts in available measures, switching to robust forecasts of missing series when breaks are detected. |
| first_indexed | 2024-03-06T23:08:12Z |
| format | Journal article |
| id | oxford-uuid:64947162-8350-4345-aee9-434b8189d34e |
| institution | University of Oxford |
| last_indexed | 2024-03-06T23:08:12Z |
| publishDate | 2010 |
| publisher | Wiley |
| record_format | dspace |
| spelling | oxford-uuid:64947162-8350-4345-aee9-434b8189d34e2022-03-26T18:19:47ZNowcasting from disaggregates in the face of location shiftsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:64947162-8350-4345-aee9-434b8189d34eSymplectic Elements at OxfordWiley2010Castle, JHendry, DGiven a need for nowcasting, we consider how nowcasts can best be achieved, the use and timing of information, including disaggregation over variables and common features, and the role of automatic model selection for nowcasting missing disaggregates. We focus on the impact of location shifts on nowcast failure and nowcasting during breaks, using impulse saturation, its relation to intercept correction, and to robust methods to avoid systematic nowcast failure. We propose a nowcasting strategy, building models of all N disaggregate series by automatic methods, forecasting every variable each period, then testing for shifts in available measures, switching to robust forecasts of missing series when breaks are detected. |
| spellingShingle | Castle, J Hendry, D Nowcasting from disaggregates in the face of location shifts |
| title | Nowcasting from disaggregates in the face of location shifts |
| title_full | Nowcasting from disaggregates in the face of location shifts |
| title_fullStr | Nowcasting from disaggregates in the face of location shifts |
| title_full_unstemmed | Nowcasting from disaggregates in the face of location shifts |
| title_short | Nowcasting from disaggregates in the face of location shifts |
| title_sort | nowcasting from disaggregates in the face of location shifts |
| work_keys_str_mv | AT castlej nowcastingfromdisaggregatesinthefaceoflocationshifts AT hendryd nowcastingfromdisaggregatesinthefaceoflocationshifts |