Camacho, M.; Dal Bianco, M.; Martínez-Martín, J.
  • Year: 2015
    Short-Run Forecasting of Argentine GDP Growth. Emerging Markets Finance and Trade, 51 (3), 473-485.
    DOI:10.1080/1540496X.2015.1025668

    Abstract

    We propose a small-scale dynamic factor model for monitoring Argentine gross domestic product (GDP) in real time using economic data at mixed frequencies (monthly and quarterly), which are published with different time lags. Our model not only produces a coincident index of the Argentine business cycle in striking accordance with professional consensus and the history of the Argentine business cycle, but also generates accurate short-run forecasts of the highly volatile Argentine GDP growth. By using a pseudo real-time empirical evaluation, we show that our model produces reliable backcasts, nowcasts, and forecasts well before the official data are released.



    http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1025668?journalCode=mree20