GDP nowcasting with ragged-edge data: a semi-parametric modeling
Résumé
This paper formalizes the process of forecasting unbalanced monthly datasets in order to obtain robust nowcasts and forecasts of quarterly gross domestic product (GDP) growth rate through a semi-parametric modeling. This innovative approach lies in the use of non-parametric methods, based on nearest neighbors and on radial basis function approaches, to forecast the monthly variables involved in the parametric modeling of GDP using bridge equations. A real-time experience is carried out on euro area vintage data in order to anticipate, with an advance ranging from 6 to 1 months, the GDP flash estimate for the whole zone.
Ce papier propose une approche innovante, basée sur des méthodes non-paramétriques, pour prédire en temps réel le produit intérieur brut.
Origine | Fichiers produits par l'(les) auteur(s) |
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