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Density Nowcasts and Model Combination: Nowcasting Euro‐Area GDP Growth over the 2008–09 Recession *
Author(s) -
Mazzi Gian Luigi,
Mitchell James,
Montana Gaetana
Publication year - 2014
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/obes.12015
Subject(s) - nowcasting , recession , econometrics , quarter (canadian coin) , aggregate (composite) , real gross domestic product , economics , receipt , dynamic factor , macroeconomics , meteorology , geography , materials science , archaeology , composite material , accounting
Combined density nowcasts for quarterly Euro‐area GDP growth are produced based on the real‐time performance of component models. Components are distinguished by their use of ‘hard’ and ‘soft’, aggregate and disaggregate, indicators. We consider the accuracy of the density nowcasts as within‐quarter indicator data accumulate. We find that the relative utility of ‘soft’ indicators surged during the recession. But as this instability was hard to detect in real‐time it helps, when producing density nowcasts unknowing any within‐quarter ‘hard’ data, to weight the different indicators equally. On receipt of ‘hard’ data for the second month in the quarter better calibrated densities are obtained by giving a higher weight in the combination to ‘hard’ indicators.