Description Usage Arguments Value References See Also Examples
Estimate nowcasting and foreacasting for a quarterly time serie. For more details read the Vignettes.
1 2 |
y |
Stationary quarterly time-series |
x |
A time series matrix ( |
q |
Dynamic rank. Number of error terms. |
r |
Static rank or number of factors (r>=q) for methods 2sq and 2sm. |
p |
AR order of factors. |
method |
2sq: Two stages quarterly for Giannone et al. 2008; 2sm: Two stages monthly for Banbura and Runstler 2011; EM: Expected Maximization Giannone et al 2011 |
blocks |
only for EM method. Select which factors impact the variables (global, nominal or real). |
A list
containing two elements:
A mts
named main
contains the original serie, the estimation in the sample, the estimation out of the sample;
A list
named factors
contains the estimated factors and coeffients.
A mts
named fore_x
contains the output of all regressors.
A mts
named month_y
contains the a monthly measure for GDP.
Giannone, D., Reichlin, L., & Small, D. (2008). Nowcasting: The real-time informational content of macroeconomic data. Journal of Monetary Economics, 55(4), 665-676.<doi:10.1016/j.jmoneco.2008.05.010>
Ba<c5><84>bura, M., & R<c3><bc>nstler, G. (2011). A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP. International Journal of Forecasting, 27(2), 333-346. <doi:10.1016/j.ijforecast.2010.01.011>
Ba<c5><84>bura M., Giannone, D. & Reichlin, L. (2011). Nowcasting, in Michael P. Clements and David F. Hendry, editors, Oxford Handbook on Economic Forecasting, pages 193-224, January 2011. <doi:10.1093/oxfordhb/9780195398649.001.0001>
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 | ## Not run:
# nowcast function examples:
### Method 2sq
pib<-BRGDP[,8]
y<-month2qtr(diff(diff(pib,3),12))
x<-Bpanel(BRGDP[,-8],rep(4,dim(BRGDP)[2]),aggregate = T)
q<-1
r<-2
p<-1
now_2sq<-nowcast(y,x,q,r,p,method = '2sq')
### Method 2sm
pib<-BRGDP[,8]
y<-month2qtr(diff(diff(pib,3),12))
x<-Bpanel(BRGDP[,-8],rep(4,dim(BRGDP)[2]),aggregate = F)
now_2sm<-nowcast(y,x,q,r,p,method = '2sm')
### Method EM
y<-month2qtr(diff(diff(pib,3),12))
x<-Bpanel(BRGDP[,-8],rep(4,dim(BRGDP)[2]),aggregate = F)
now_em<-nowcast(y,x,q,r,p,'EM')
## End(Not run)
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