Premium
Nowcasting quarterly GDP growth in a monthly coincident indicator model
Author(s) -
Nunes Luis C.
Publication year - 2005
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.969
Subject(s) - nowcasting , econometrics , index (typography) , economics , economic indicator , real gross domestic product , autoregressive integrated moving average , missing data , composite index , seasonal adjustment , stock (firearms) , stock market index , time series , statistics , composite indicator , mathematics , geography , computer science , stock market , variable (mathematics) , macroeconomics , meteorology , mathematical analysis , context (archaeology) , archaeology , world wide web
This paper presents an extension of the Stock and Watson coincident indicator model that allows one to include variables available at different frequencies while taking care of missing observations at any time period. The proposed procedure provides estimates of the unobserved common coincident component, of the unobserved monthly series underlying any included quarterly indicator, and of any missing values in the series. An application to a coincident indicator model for the Portuguese economy is presented. We use monthly indicators from business surveys whose results are published with a very short delay. By using the available data for the monthly indicators and for quarterly real GDP, it becomes possible to produce simultaneously a monthly composite index of coincident indicators and an estimate of the latest quarter real GDP growth well ahead of the release of the first official figures. Copyright © 2005 John Wiley & Son, Ltd.