NOWCASTING IS NOT JUST CONTEMPORANEOUS FORECASTING

被引：25

作者：

Castle, Jennifer L. ^{[1
]}

Fawcett, Nicholas W. P. ^{[1
]}

Hendry, David F. ^{[1
]}

机构：

[1] Univ Oxford, Dept Econ, Oxford, England

来源：

NATIONAL INSTITUTE ECONOMIC REVIEW | 2009年 / 210卷 / 01期

关键词：

Nowcasting; contemporaneous information; Autometrics; location shifts; impulse-indicator saturation; robust nowcasts; Euro Area GDP growth;

D O I：

10.1177/0027950109354412

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the reasons for nowcasting, the timing of information and sources thereof, especially contemporaneous data, which introduce different aspects compared to forecasting. We allow for the impact of location shifts inducing nowcast failure and nowcasting during breaks, probably with measurement errors. We also apply a variant of the nowcasting strategy proposed in Castle and Hendry (2009) to nowcast Euro Area GDP growth. Models of disaggregate monthly indicators are built by automatic methods, forecasting all variables that are released with a publication lag each period, then testing for shifts in available measures including survey data, switching to robust forecasts of missing series when breaks are detected.

引用

页码：71 / 89

页数：19

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