Nowcasting Mexico's Short-Term GDP Growth in Real-Time: A Factor Model versus Professional Forecasters.
We introduce a novel real-time database for the Mexican economy and propose a small-scale mixed-frequency dynamic factor model for nowcasting Mexico's short-term GDP growth in real-time. We compare our factor-based backcasts, nowcasts, and forecasts with those of the consensus of the survey of profe...
| Publicado en: | Economía Vol. 17; no. 1; pp. 167 - 183 |
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| Autores principales: | , , |
| Formato: | Artículo |
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London School of Economics & Political Science
Fall2016
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=118958614&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 118958614 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 15297470 N8H jtl: Economía issn: 15297470 maglogo: N pubinfo: dt: Fall2016 vid: 17 iid: 1 pid: 66142 pub: London School of Economics & Political Science artinfo: ui: 118958614 10.31389/eco.49 ppf: 167 ppct: 16 formats: fmt: @attributes: type: P size: 5.1MB tig: atl: Nowcasting Mexico's Short-Term GDP Growth in Real-Time: A Factor Model versus Professional Forecasters. aug: au: DELAJARA, MARCELO ÁLVAREZ, FEDERICO HERNÁNDEZ TIRADO, ABEL RODRÍGUEZ affil: Centro de Estudios Espinosa Yglesias Bank of Mexico and National Autonomous University of Mexico su: Mexico Economic forecasting Gross domestic product Databases Financial performance Global Financial Crisis, 2008-2009 sug: subj: Economic forecasting Mexico Gross domestic product Databases Financial performance Global Financial Crisis, 2008-2009 keyword: factor model nowcasting real-time short-term GDP growth factor model nowcasting real-time short-term GDP growth ab: We introduce a novel real-time database for the Mexican economy and propose a small-scale mixed-frequency dynamic factor model for nowcasting Mexico's short-term GDP growth in real-time. We compare our factor-based backcasts, nowcasts, and forecasts with those of the consensus of the survey of professional forecasters during the period from the second quarter of 2008 through the second quarter of 2014. Our results suggest that our factor-based backcasts, nowcasts, and forecasts outperform those of the consensus of professional forecasters in real-time comparisons despite some structural instability during the 2008-09 crisis and its aftermath in 2010. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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