Nowcasting GDP

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Andrew25
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Joined: Tue Mar 08, 2016 3:47 am

Nowcasting GDP

Postby Andrew25 » Thu Jun 16, 2016 6:02 am

Hello,
I am using Bayesian VAR to nowcast GDP and financial sector output, however I have some issues. I will try to describe it step-by-step. First, I estimate the model with data from 1996q1 to 2015q4, then I make model and obtain forecasts for 2016q1 using Dynamic-Deterministic simulation. Until this point, everything is fine. However, as I have 2016q1 data for some of the variables included in the model, I create alternative scenario and override the values for 2016q1 with the data I have. However, when I compare the forecasted values of GDP from this scenario with baseline forecasts there is no change. What am I doing wrong? I will greatly appreciate your comments!

EViews Gareth
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Re: Nowcasting GDP

Postby EViews Gareth » Thu Jun 16, 2016 6:08 am

Need the workfile probably
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Andrew25
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Joined: Tue Mar 08, 2016 3:47 am

Re: Nowcasting GDP

Postby Andrew25 » Thu Jun 16, 2016 6:49 am

Here is the workfile. Thank you Gareth very much for looking into these matters!
Attachments
Nowcast WF.wf1
(110.09 KiB) Downloaded 103 times

EViews Gareth
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Re: Nowcasting GDP

Postby EViews Gareth » Thu Jun 16, 2016 10:07 am

I think none of the remaining endogenous variables depend upon the overriden/excluded variables in the same time period - they all depend on past values. So the forecasts will only change for a forecast of 2016q2 onwards.
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Andrew25
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Re: Nowcasting GDP

Postby Andrew25 » Fri Jun 17, 2016 5:21 am

Maybe you have some advice how I can make the remaining endogenous variables depend on the overriden variables in the same period?

EViews Gareth
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Re: Nowcasting GDP

Postby EViews Gareth » Fri Jun 17, 2016 7:26 am

Change the specification of the underlying relationships
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Andrew25
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Re: Nowcasting GDP

Postby Andrew25 » Wed Jun 29, 2016 2:56 am

Seems that I found the solution - variables for which data are available are specified as exogenous in VAR dialog!

dakila
Posts: 273
Joined: Tue Nov 24, 2015 4:57 pm

Re: Nowcasting GDP

Postby dakila » Mon Jul 04, 2016 4:04 am

You do not need to make some variables exogenous forcefully. It is not good idea. You can use the confcast add-in.

Andrew25
Posts: 11
Joined: Tue Mar 08, 2016 3:47 am

Re: Nowcasting GDP

Postby Andrew25 » Mon Jul 04, 2016 4:56 am

Dear Dakila, thank you very much for answer. However, where can I download the confcast add-in? It isn't listed there http://www.eviews.com/Addins/addins.shtml

dakila
Posts: 273
Joined: Tue Nov 24, 2015 4:57 pm

Re: Nowcasting GDP

Postby dakila » Mon Jul 04, 2016 1:29 pm

Sorry. You need to wait. It is new add-in. I hope Eviews will post it soon on the web.

dakila
Posts: 273
Joined: Tue Nov 24, 2015 4:57 pm

Re: Nowcasting GDP

Postby dakila » Sat Jul 16, 2016 8:51 pm

Hi Andrew,

How did you find it?


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