Related papers: Monthly GDP Growth Estimates for the U.S. States

Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content of low-frequency variables and the results from conditional…

We develop a novel Bayesian framework for dynamic modeling of mixed frequency data to nowcast quarterly U.S. GDP growth. The introduced framework utilizes foundational Bayesian theory and treats data sampled at different frequencies as…

State-space mixed-frequency vector autoregressions are now widely used for nowcasting. Despite their popularity, estimating such models can be computationally intensive, especially for large systems with stochastic volatility. To tackle the…

The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks…

We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the 'steady states' (unconditional means) of the…

Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics between variables recorded at different frequencies. However, as the number of series and high-frequency observations per low-frequency period grow, MF-VARs suffer from the…

Nowcasting can play a key role in giving policymakers timelier insight to data published with a significant time lag, such as final GDP figures. Currently, there are a plethora of methodologies and approaches for practitioners to choose…

Timely information about the state of regional economies can be essential for planning, implementing and evaluating locally targeted economic policies. However, European regional accounts for output are published at an annual frequency and…

In the dynamic landscape of continuous change, Machine Learning (ML) "nowcasting" models offer a distinct advantage for informed decision-making in both public and private sectors. This study introduces ML-based GDP growth projection models…

High-frequency death counts are now widely available and contain timely information about intra-year mortality dynamics, but most stochastic mortality models are still estimated on annual data and therefore update only when annual totals…

This article investigates factor-augmented sparse MIDAS (Mixed Data Sampling) regressions for high-dimensional time series data, which may be observed at different frequencies. Our novel approach integrates sparse and dense dimensionality…

We discuss the issue of estimating large-scale vector autoregressive (VAR) models with stochastic volatility in real-time situations where data are sampled at different frequencies. In the case of a large VAR with stochastic volatility, the…

There is currently an increasing interest in large vector autoregressive (VAR) models. VARs are popular tools for macroeconomic forecasting and use of larger models has been demonstrated to often improve the forecasting ability compared to…

Real-time economic information is essential for policy-making but difficult to obtain. We introduce a granular nowcasting method for macro- and industry-level GDP using a network approach and data on real-time monthly inter-industry…

The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…

We develop a new VAR model for structural analysis with mixed-frequency data. The MIDAS-SVAR model allows to identify structural dynamic links exploiting the information contained in variables sampled at different frequencies. It also…

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the…

We apply artificial neural networks (ANNs) to nowcast quarterly GDP growth for the U.S. economy. Using the monthly FRED-MD database, we compare the nowcasting performance of five different ANN architectures: the multilayer perceptron (MLP),…

A two-component model for the evolution of real GDP per capita in the USA is presented and tested. The first component of the GDP growth rate represents an economic trend and is inversely proportional to the attained level of real GDP per…