Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions (replication data)

DOI

We propose a release-augmented dynamic factor model (RA-DFM) that allows to quantify the role of a country's data flow in nowcasting both early Gross Domestic Product (GDP) releases and subsequent revisions of official estimates. We use the RA-DFM to study UK GDP early revision rounds and assemble a comprehensive and novel mixed-frequency dataset that features 12 years of real-time data vintages. The RA-DFM improves over the standard DFM in real time when forecasting the first release each quarter. Economic and survey data help to predict the first revision round.

Identifier
DOI https://doi.org/10.15456/jae.2022327.072020
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775174
Provenance
Creator Anesti, Nikoleta; Galvão, Ana Beatriz; Miranda-Agrippino, Silvia
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2022
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics