Nowcasting GDP in Real Time: A Density Combination Approach

By K. Aastveit, Karsten R. Gerdrup, A. Jore, Leif Anders Thorsrud. 2014

133 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6462911e41c530a665c422cdeaa0fbd1afbd03af

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Citations in the corpus

Combining density forecasts using focused scoring rules (2017, unknown): “Moreover, Aastveit et al. (2016) show that the concept of “model incompleteness”, that is, the true model is not in the pool, plays a large role for nowcasting when the data uncertainty is large.”
A Survey of Econometric Methods for Mixed-Frequency Data (2013, background): “Moreover, they allow the model to have an AR(1) idiosyncratic component.”
Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments (2015, methodology): “Finally, in several applications like those by Clements (2004), Mitchell and Hall (2005), Jore, Mitchell, and Vahey (2010), Bache et al. (2011), and Aastveit et al. (2011) one finds a variant of the test by Berkowitz (2001) adapted to the case of serially correlated INTs.”
Using Stacking to Average Bayesian Predictive Distributions (with Discussion) (2017, methodology): “…of Bayesian density combination methods following the literature on combination of point forecasts (e.g. Hall and Mitchell, 2007; Geweke and Amisano, 2011; Billio et al., 2013; Aastveit et al., 2014; Kapetanios et al., 2015; Aastveit et al., 2018; Del Negro et al., 2016, and references therein).”
The Evolution of Forecast Density Combinations in Economics (2018, background): “By contrast, Aastveit et al. (2014), for example, chose to adopt a two-step approach that firstly combines the forecast densities from models within a specific model class, and then combines these combined forecast densities across the smaller number of model classes.”
Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016, methodology): “use sign restrictions in a SDFM, and Aastveit et al. (2015), who use a combination of sign and timing restrictions in a FAVAR.”