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Nowcasting the Portuguese GDP with monthly data

dc.contributor.authorAssunção, João B.
dc.contributor.authorFernandes, Pedro Afonso
dc.date.accessioned2022-08-10T10:30:44Z
dc.date.available2022-08-10T10:30:44Z
dc.date.issued2022-06-14
dc.description.abstractIn this article, we present a method to forecast the Portuguese gross domestic product (GDP) in each current quarter (nowcasting). It combines bridge equations of the real GDP on readily available monthly data like the Economic Sentiment Indicator (ESI), industrial production index, cement sales or exports and imports, with forecasts for the jagged missing values computed with the well-known Hodrick and Prescott (HP) filter. As shown, this simple multivariate approach can perform as well as a Targeted Diffusion Index (TDI) model and slightly better thanthe univariate Theta method in terms of out-of-sample mean errors.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.48550/arXiv.2206.06823pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.14/38574
dc.language.isoengpt_PT
dc.peerreviewednopt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectTime seriespt_PT
dc.subjectMacroeconomic forecastingpt_PT
dc.subjectNowcastingpt_PT
dc.subjectError correction modelspt_PT
dc.subjectCombining forecastspt_PT
dc.titleNowcasting the Portuguese GDP with monthly datapt_PT
dc.typepreprint
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typepreprintpt_PT

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