Nowcasting GDP
Posted: 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!
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!