Forecasting and nowcasting macroeconomic variables: a methodological overview
We consider the reasons for nowcasting, how nowcasts can be achieved, and the use and timing of information. The existence of contemporaneous data such as surveys is a major difference from forecasting, but many of the recent lessons about forecasting remain relevant. Given the extensive disaggreg...
| Главные авторы: | , , |
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| Формат: | Working paper |
| Опубликовано: |
University of Oxford
2013
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| _version_ | 1826291378495160320 |
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| author | Castle, J Hendry, D Kitov, O |
| author_facet | Castle, J Hendry, D Kitov, O |
| author_sort | Castle, J |
| collection | OXFORD |
| description | We consider the reasons for nowcasting, how nowcasts can be achieved, and the use and timing of information. The existence of contemporaneous data such as surveys is a major difference from forecasting, but many of the recent lessons about forecasting remain relevant. Given the extensive disaggregation over variables underlying flash estimates of aggregates, we show that automatic model selection can play a valuable role, especially when location shifts would otherwise induce nowcast failure. Thus, we address nowcasting when location shifts occur, probably with measurement error. We describe impulse-indicator saturation as a potential solution to such shifts, noting its relation to intercept corrections and to robust methods to avoid systematic nowcast failure. We propose a nowcasting strategy, building models of all disaggregate series by automatic methods, forecasting all variables before the end of each period, testing for shifts as available measures arrive, and adjusting forecasts of cognate missing series if substantive discrepancies are found. An alternative is switching to robust forecasts when breaks are detected. We apply a variant of this strategy to nowcast UK GDP growth, seeking pseudo real-time data availability. |
| first_indexed | 2024-03-07T02:58:30Z |
| format | Working paper |
| id | oxford-uuid:b022e96f-af7d-4cfd-a9e3-2dc38f2abcde |
| institution | University of Oxford |
| last_indexed | 2024-03-07T02:58:30Z |
| publishDate | 2013 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:b022e96f-af7d-4cfd-a9e3-2dc38f2abcde2022-03-27T03:54:14ZForecasting and nowcasting macroeconomic variables: a methodological overviewWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:b022e96f-af7d-4cfd-a9e3-2dc38f2abcdeBulk import via SwordSymplectic ElementsUniversity of Oxford2013Castle, JHendry, DKitov, OWe consider the reasons for nowcasting, how nowcasts can be achieved, and the use and timing of information. The existence of contemporaneous data such as surveys is a major difference from forecasting, but many of the recent lessons about forecasting remain relevant. Given the extensive disaggregation over variables underlying flash estimates of aggregates, we show that automatic model selection can play a valuable role, especially when location shifts would otherwise induce nowcast failure. Thus, we address nowcasting when location shifts occur, probably with measurement error. We describe impulse-indicator saturation as a potential solution to such shifts, noting its relation to intercept corrections and to robust methods to avoid systematic nowcast failure. We propose a nowcasting strategy, building models of all disaggregate series by automatic methods, forecasting all variables before the end of each period, testing for shifts as available measures arrive, and adjusting forecasts of cognate missing series if substantive discrepancies are found. An alternative is switching to robust forecasts when breaks are detected. We apply a variant of this strategy to nowcast UK GDP growth, seeking pseudo real-time data availability. |
| spellingShingle | Castle, J Hendry, D Kitov, O Forecasting and nowcasting macroeconomic variables: a methodological overview |
| title | Forecasting and nowcasting macroeconomic variables: a methodological overview |
| title_full | Forecasting and nowcasting macroeconomic variables: a methodological overview |
| title_fullStr | Forecasting and nowcasting macroeconomic variables: a methodological overview |
| title_full_unstemmed | Forecasting and nowcasting macroeconomic variables: a methodological overview |
| title_short | Forecasting and nowcasting macroeconomic variables: a methodological overview |
| title_sort | forecasting and nowcasting macroeconomic variables a methodological overview |
| work_keys_str_mv | AT castlej forecastingandnowcastingmacroeconomicvariablesamethodologicaloverview AT hendryd forecastingandnowcastingmacroeconomicvariablesamethodologicaloverview AT kitovo forecastingandnowcastingmacroeconomicvariablesamethodologicaloverview |