Related papers: Nowcasting and aggregation: Why small Euro area co…
The time varying reproduction number R is a critical variable for situational awareness during infectious disease outbreaks, but delays between infection and reporting hinder its accurate estimation in real time. We propose a nowcasting…
Core objectives of European common market integration are convergence and economic growth, but these are hampered by redundancy, and value chain asymmetries. The challenge is how to harmonize labor division to reach global competitiveness,…
Governments around the world continue to act to contain and mitigate the spread of COVID-19. The rapidly evolving situation compels officials and executives to continuously adapt policies and social distancing measures depending on the…
We evaluate the informational content of news-based sentiment indicators for forecasting Gross Domestic Product (GDP) and other macroeconomic variables of the five major European economies. Our data set includes over 27 million articles for…
The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of…
Macroeconomic nowcasting sits at the intersection of traditional econometrics, data-rich information systems, and AI applications in business, economics, and policy. Machine learning (ML) methods are increasingly used to nowcast quarterly…
Growth rate of real GDP per capita is represented as a sum of two components -- a monotonically decreasing economic trend and fluctuations related to a specific age population change. The economic trend is modeled by an inverse function of…
In this paper, we study the trending behaviour of COVID-19 data at country level, and draw attention to some existing econometric tools which are potentially helpful to understand the trend better in future studies. In our empirical study,…
Large and acute economic shocks such as the 2007-2009 financial crisis and the current COVID-19 infections rapidly change the economic environment. In such a situation, the importance of real-time economic analysis using alternative datais…
Election poll reporting often focuses on mean values and only subordinately discusses the underlying uncertainty. Subsequent interpretations are too often phrased as certain. Moreover, media coverage rarely adequately takes into account the…
The statistical distances between countries, calculated for various moving average time windows, are mapped into the ultrametric subdominant space as in classical Minimal Spanning Tree methods. The Moving Average Minimal Length Path (MAMLP)…
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…
The aim of the present article is to offer a strictly mathematical, statistical treatment of the current account balances in EU and in the Eurozone. Based on Eurostat data, an overview of the total and annual balances is first made for…
Inflation is one of the most important economic indicators closely watched by both public institutions and private agents. This study compares the performance of a traditional econometric model, Mixed Data Sampling regression, with one of…
In a crowd forecasting system, aggregation is an algorithm that returns aggregated probabilities for each question based on the probabilities provided per question by each individual in the crowd. Various aggregation methods have been…
Panel Vector Autoregressions (PVARs) are a popular tool for analyzing multi-country datasets. However, the number of estimated parameters can be enormous, leading to computational and statistical issues. In this paper, we develop fast…
We propose a modular framework for temporal disaggregation of quarterly GDP into monthly frequency, in which the regression step accommodates any supervised learning model while Mariano-Murasawa reconciliation enforces quarterly…
The growth rate of real GDP per capita in the biggest OECD countries is represented as a sum of two components - a steadily decreasing trend and fluctuations related to the change in some specific age population. The long term trend in the…
The gross domestic product (GDP) is the most widely used indicator in macroeconomics and the main tool for measuring a country's economic output. Due to the diversity and complexity of the world economy, a wide range of models have been…
This paper develops a mixed frequency vector autoregressive (MF-VAR) model to produce nowcasts and historical estimates of monthly real state-level GDP for the 50 U.S. states, plus Washington DC, from 1964 through the present day. The…