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Panel data nowcasting

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https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fhdl.handle.net%2F10.1080%2F07474938.2021.2017670;h=repec:taf:emetrv:v:41:y:2022:i:7:p:675-696
Time Added
2022/09/19 18:35
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Forecasting Model
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0
Authors
Jack Fosten and Ryan Greenaway-McGrevy
Abstract
This article promotes the use of panel data methods in nowcasting. This shifts the focus of the literature from national to regional nowcasting of variables like gross domestic product (GDP). We propose a mixed-frequency panel VAR model and a bias-corrected least squares estimator which attenuates the bias in fixed effects dynamic panel settings. Simulations show that panel forecast model selection and combination methods are successfully adapted to the nowcasting setting. Our novel empirical application of nowcasting quarterly U.S. state-level real GDP growth highlights the success of state-level nowcasting as well as the gains from pooling information across states.
Keywords
Year Published
2022
Series
Econometric Reviews 2022 vol. 41 issue 7 675-696
Rank
0.81
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