NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC

IF 1.2 Q3 ECONOMICS National Institute Economic Review Pub Date : 2021-01-22 DOI:10.1017/nie.2021.8
G. Koop, Stuart G McIntyre, James Mitchell, Aubrey Poon
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引用次数: 5

Abstract

Expenditure-side and income-side gross domestic product (GDP) are measured at the quarterly frequency and contain measurement error. Econometric methods exist for producing reconciled estimates of underlying true GDP from these noisy estimates. Recently, the authors of this paper developed a mixed-frequency reconciliation model which produces monthly estimates of true GDP. In the present paper, we investigate whether this model continues to work well in the face of the extreme observations that occurred during the pandemic year and consider several extensions of it. These include stochastic volatility and error distributions that are fat-tailed or explicitly allow for outliers.
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临近预测大流行期间的“真实”月度美国GDP
开支方面和收入方面的本地生产总值(本地生产总值)是按季度计量的,包含计量误差。存在计量经济学方法,可以从这些嘈杂的估计中产生潜在真实GDP的协调估计。最近,本文的作者开发了一个混合频率调节模型,该模型产生每月真实GDP的估计。在本文中,我们研究了该模型在面对大流行年期间发生的极端观测时是否继续有效,并考虑了它的几个扩展。这些包括随机波动和误差分布,这些分布是厚尾的或明确允许异常值的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.70
自引率
9.50%
发文量
21
期刊介绍: The National Institute Economic Review is the quarterly publication of the National Institute of Economic and Social Research, one of Britain"s oldest and most prestigious independent research organisations. The Institutes objective is to promote, through quantitative research, a deeper understanding of the interaction of economic and social forces that affect peoples" lives so that they may be improved. It has no political affiliation, and receives no core funding from government. Its research programme is organised under the headings of Economic Modelling and Analysis; Productivity; Education and Training and the International Economy.
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