Publicação
Nowcasting Brazilian GDP: a performance assessment of dynamic factor models
| Resumo: | This work compares dynamic factor model’s forecasts for Brazilian GDP. Our approach takes into account mixed frequencies and can handle missing data. We implement three models: the first is based on the Principal Components Analysis methodology; the second employs a two-step estimation method with quarterly inputs; the last is similar to the former but uses monthly series. A real-time out-of-sample exercise is proposed to assess the performance of these models. A dataset is created for each day within 27 quarters - from the fourth quarter of 2010 up to the second quarter of 2017. For recent periods, the nowcasts estimated by both two-step procedures perform better than the average predictions of Focus Survey, a bulletin organized by the Brazilian Central Bank. We also show evidence that the average of GDP forecasts from this survey may be biased |
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| Autores principais: | Gomes, Guilherme Branco |
| Assunto: | GDP Dynamic factor model Nowcasting Economia PIB Modelo de fatores dinâmicos |
| Ano: | 2018 |
| País: | Brasil |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | IBICT |
| Idioma: | inglês |
| Origem: | Oasisbr |
| Resumo: | This work compares dynamic factor model’s forecasts for Brazilian GDP. Our approach takes into account mixed frequencies and can handle missing data. We implement three models: the first is based on the Principal Components Analysis methodology; the second employs a two-step estimation method with quarterly inputs; the last is similar to the former but uses monthly series. A real-time out-of-sample exercise is proposed to assess the performance of these models. A dataset is created for each day within 27 quarters - from the fourth quarter of 2010 up to the second quarter of 2017. For recent periods, the nowcasts estimated by both two-step procedures perform better than the average predictions of Focus Survey, a bulletin organized by the Brazilian Central Bank. We also show evidence that the average of GDP forecasts from this survey may be biased |
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