Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecastsW. Jos Jansen, Xiaowen Jin and Jasper de Winter () International Journal of Forecasting, 2016, vol. 32, issue 2, 411-436 Abstract: We conduct a systematic comparison of the short-term forecasting abilities of twelve statistical models and professional analysts in a pseudo-real-time setting, using a large set of monthly indicators. Our analysis covers the euro area and its five largest countries over the years 1996–2011. We find summarizing the available monthly information in a few factors to be a more promising forecasting strategy than averaging a large number of single-indicator-based forecasts. Moreover, it is important to make use of all available monthly observations. The dynamic factor model is the best model overall, particularly for nowcasting and backcasting, due to its ability to incorporate more information (factors). Judgmental forecasts by professional analysts often embody valuable information that could be used to enhance the forecasts derived from purely mechanical procedures. Keywords: Forecasting competitions; Factor models; Professional forecasters; Judgment (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:32:y:2016:i:2:p:411-436 DOI: 10.1016/j.ijforecast.2015.05.008 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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