nowcast: Nowcasting of a quarterly time serie using a dynamic factor.

In guilbran/nowcasting: Nowcast Analysis and Create Real-Time Data Basis

Description

Estimate nowcasting and foreacasting for a quarterly time serie. For more details read the Vignettes.

Usage

nowcast(y, x, q = NULL, r = NULL, p = NULL, method = "2sq",
  blocks = NULL)

Arguments

y	Stationary quarterly time-series
x	A time series matrix (mts) representing the regressors of interest. The series must be stationary.
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).

Value

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.

References

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>

See Also

base_extraction

Examples

## 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)

guilbran/nowcasting documentation built on May 17, 2019, 2:09 p.m.