Nowcasting UK GDP During the Depression

Smith, Paul (2016) Nowcasting UK GDP During the Depression. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

Nowcasting UK GDP during the Depression reviews the performance of several statistical techniques in nowcasting preliminary estimates of UK GDP, particularly during the recent depression. Traditional bridging equations, MIDAS regressions and factor models are all considered. While there are various theoretical differences and perceived advantages for each technique, replicated real-time out-ofsample testing shows that, in practice, there is in fact little to choose between methods in terms of end-of-period nowcasting accuracy. The analysis also reveals that none of the aforementioned statistical models can consistently beat a consensus of professional economists in nowcasting preliminary GDP estimates. This inability of statistical models to beat the consensus may reflect several factors, one of which is the revisions and re-appraisal of trends inherent in UK GDP statistics. The suggestion is that these changes impact on observed relationships between GDP and indicator variables such as business surveys, which impairs nowcasting performance. Indeed, using a synthetic series based purely on observed preliminary GDP estimates, which introduces stability to the target variable series, the nowcasting accuracy of regressions including closely-watched PMI data is improved by 25-40 percentage points relative to a naive benchmark.

ORCID iDs

Smith, Paul ORCID logoORCID: https://orcid.org/0000-0002-3493-3007;
  • Item type:Monograph(Discussion paper)
    ID code:68356
    Dates:
    Date
    Event
    20 April 2016
    Published
    Notes:Published as a paper within the Discussion Papers in Economics, No. 16-06 (2016)
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:11 Jun 2019 14:56
    Last modified:21 Nov 2024 12:44
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/68356
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