Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008-09 Recession

作者：Mazzi Gian Luigi^*; Mitchell James; Montana Gaetana

来源：Oxford Bulletin of Economics and Statistics, 2014, 76(2): 233-256.

DOI：10.1111/obes.12015

• C32
• C82
• C53

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.

• 出版日期2014-4