Access the full text.
Sign up today, get DeepDyve free for 14 days.
Rudrani Bhattacharya, Radhika Pandey, Giovanni Veronese (2011)
Tracking India Growth in Real Time
Aruoba (2008)
Data revisions are not well behavedJournal of Money, Credit and Banking, 40
S. Aruoba (2004)
Data Revisions are Not Well-BehavedEconometrics eJournal
J. Kitchen, R. Monaco (2003)
Real-Time Forecasting in Practice: The U.S. Treasury Staff's Real-Time GDP Forecast System
F. Diebold, R. Mariano (1994)
Comparing Predictive AccuracyJournal of Business & Economic Statistics, 20
N. Mankiw, M. Shapiro (1986)
News or Noise? an Analysis of Gnp RevisionsERN: Production (Topic)
N. Mankiw, D. Runkle, M. Shapiro (1984)
Are preliminary announcements of the money stock rational forecastsJournal of Monetary Economics, 14
Alberto Caruso (2017)
Nowcasting with the help of foreign indicators: The case of MexicoEconomic Modelling, 69
Marta Bańbura, M. Modugno (2010)
Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing DataEconometrics: Econometric & Statistical Methods - General eJournal
Jean Boivin, Serena Ng (2006)
Are more data always better for factor analysisJournal of Econometrics, 132
Marta Bańbura, D. Giannone, L. Reichlin (2010)
NowcastingEconometrics: Applied Econometrics & Modeling eJournal
J. Stock, M. Watson (2002)
Forecasting Using Principal Components From a Large Number of PredictorsJournal of the American Statistical Association, 97
Mario Forni, M. Hallin, Marco Lippi, L. Reichlin (2000)
The Generalized Dynamic-Factor Model: Identification and EstimationReview of Economics and Statistics, 82
Catherine Doz, D. Giannone, L. Reichlin (2006)
A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor ModelsReview of Economics and Statistics, 94
(2005)
Understanding changes in international business cycle dynamics
J. Stock, M. Watson (2002)
Macroeconomic Forecasting Using Diffusion IndexesJournal of Business & Economic Statistics, 20
T. Sargent, C. Sims (1976)
Business cycle modeling without pretending to have too much a priori economic theory
Marta Bańbura, D. Giannone, M. Modugno, L. Reichlin (2012)
Now-Casting and the Real-time Data FlowEuropean Economics: Macroeconomics & Monetary Economics eJournal
Matteo Luciani, Lorenzo Ricci (2013)
Nowcasting NorwayERN: Bayesian Analysis (Topic)
D. Bragoli, Luca Metelli, M. Modugno (2014)
The Importance of Updating: Evidence from a Brazilian Nowcasting ModelERN: Other Econometrics: Applied Econometric Modeling in Forecasting (Topic)
Troy Matheson (2011)
New Indicators for Tracking Growth in Real TimeMacroeconomics: Production & Investment eJournal
B. Bernanke, Jean Boivin (2001)
Monetary Policy in a Data-Rich EnvironmentMonetary Economics
Mario Forni, D. Giannone, Marco Lippi, L. Reichlin (2009)
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONSEconometric Theory, 25
Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha (2017)
Nowcasting BRIC+M in real timeInternational Journal of Forecasting, 33
Matteo Luciani (2014)
Large-Dimensional Dynamic Factor Models in Real-Time: A SurveyEconometric Modeling: Forecasting eJournal
D. Giannone, L. Reichlin, David Small (2008)
Nowcasting: the real time informational content of macroeconomic data releasesResearch Papers in Economics
A. Baffigi, R. Golinelli, G. Parigi (2004)
Bridge models to forecast the euro area GDPInternational Journal of Forecasting, 20
J. Kitchen, R. Monaco (2010)
Real-Time Forecasting in Practice: The
(2005)
Where are we now? Real-time estimates of the macroeconomy’, International Journal of Central Banking, Vol
M. Bańbura, D. Giannone, M. Modugno, L. Reichlin (2013)
Handbook of Economic Forecasting
M. Bańbura, D. Giannone, L. Reichlin (2011)
Oxford Handbook of Economic Forecasting
Panel (a): Comparison of nowcasting models A, B and C. Panel (b): Comparison of nowcasting model B and benchmarks Note: Charts are the same as for Figure 2
Catherine Doz, D. Giannone, L. Reichlin (2007)
A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman FilteringCEPR Discussion Paper Series
G. Parigi, G. Schlitzer (1995)
Quarterly forecasts of the italian business cycle by means of monthly economic indicatorsJournal of Forecasting, 14
Michael Clements (2014)
Real-Time Factor Model Forecasting and the Effects of InstabilityERN: Time-Series Models (Single) (Topic)
R. Mariano, Yasutomo Murasawa (2002)
A New Coincident Index of Business Cycles Based on Monthly and Quarterly SeriesPenn Institute for Economic Research (PIER) Working Paper Series
Nowcasting has become a useful tool for making timely predictions of gross domestic product (GDP) in a data‐rich environment. However, in developing economies this is more challenging due to substantial revisions in GDP data and the limited availability of predictor variables. Taking India as a leading case, we use a dynamic factor model nowcasting method to analyse these two issues. Firstly, we propose to compare nowcasts of the first release of GDP to those of the final release to assess differences in their predictability. Secondly, we expand a standard set of predictors typically used for nowcasting GDP with nominal and international series, in order to proxy the variation in missing employment and service sector variables in India. We find that the factor model improves over several benchmarks, including bridge equations, but only for the final GDP release and not for the first release. Also, the nominal and international series improve predictions over and above real series. This suggests that future studies of nowcasting in developing economies which have similar issues of data revisions and availability as India should be careful in analysing first‐ vs. final‐release GDP data, and may find that predictions are improved when additional variables from more timely international data sources are included.
Oxford Bulletin of Economics & Statistics – Wiley
Published: Jan 1, 2018
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.