G. Koop, Stuart G McIntyre, James Mitchell, Aubrey Poon
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NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC
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.
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.