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

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2014
Volume: 76
Issue: 2
Pages: 233-256

Authors (3)

Gian Luigi Mazzi (not in RePEc) James Mitchell (Federal Reserve Bank of Clevel...) Gaetana Montana (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

type="main" xml:lang="en"> <title type="main">Abstract</title> <p>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.

Technical Details

RePEc Handle
repec:bla:obuest:v:76:y:2014:i:2:p:233-256
Journal Field
General
Author Count
3
Added to Database
2026-01-26