Nowcasting from cross-sectionally dependent panels

IF 2.3 3区 经济学 Q2 ECONOMICS
Jack Fosten, Shaoni Nandi
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引用次数: 1

Abstract

This paper builds a mixed-frequency panel data model for nowcasting economic variables across many countries. The model extends the mixed-frequency panel vector autoregression (MF-PVAR) to allow for heterogeneous coefficients and a multifactor error structure to model cross-sectional dependence. We propose a modified common correlated effects (CCE) estimation technique which performs well in simulations. The model is applied in two distinct settings: nowcasting gross domestic product (GDP) growth for a pool of advanced and emerging economies and nowcasting inflation across many European countries. Our method is capable of beating standard benchmark models and can produce updated nowcasts whenever data releases occur in any country in the panel.

Abstract Image

来自横截面依赖面板的临近预测
本文建立了一个跨多个国家的临近预测经济变量的混合频率面板数据模型。该模型扩展了混合频率面板向量自回归(MF-PVAR),允许异质系数和多因素误差结构来建模横截面依赖性。我们提出了一种改进的共同相关效应(CCE)估计技术,该技术在仿真中表现良好。该模型适用于两种截然不同的环境:对一系列发达和新兴经济体的国内生产总值(GDP)增长进行临近预测,以及对许多欧洲国家的通胀进行临近预测。我们的方法能够优于标准基准模型,并且可以在面板中的任何国家发布数据时生成更新的即时预报。
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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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