Nowcasting Mexico’s short-term GDP growth in real-time: a factor model versus professional forecasters

Delajara, Marcelo, Álvarez, Federico Hernández and Tirado, Abel Rodríguez (2016) Nowcasting Mexico’s short-term GDP growth in real-time: a factor model versus professional forecasters. Economía, 17 (1). 167 - 182. ISSN 1529-7470

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Abstract

We introduce a novel real-time database for the Mexican economy and propose a small-scale mixed-frequency dynamic factor model for nowcasting Mexico’s short-term GDP growth in real-time. We compare our factor-based backcasts, nowcasts, and forecasts with those of the consensus of the survey of professional forecasters during the period from the second quarter of 2008 through the second quarter of 2014. Our results suggest that our factor-based backcasts, nowcasts, and forecasts outperform those of the consensus of professional forecasters in real-time comparisons despite some structural instability during the 2008–09 crisis and its aftermath in 2010.

Item Type:	Article
Official URL:	https://economia.lse.ac.uk/
Additional Information:	© 2016 LACTEA
Divisions:	LSE
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HB Economic Theory
JEL classification:	E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Employment, and Investment > E27 - Forecasting and Simulation C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Other Model Applications E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation
Date Deposited:	10 Jul 2024 14:54
Last Modified:	10 Jul 2024 14:54
URI:	http://eprints.lse.ac.uk/id/eprint/123297

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