Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails
经济活动即时预测的进展：异质动态与厚尾的作用
A key question for households, firms, and policy makers is: how is the economy doing now? This paper develops a Bayesian dynamic factor model that allows for nonlinearities, heterogeneous lead–lag patterns and fat tails in macroeconomic data. Explicitly modeling these features changes the way that different indicators contribute to the real-time assessment of the state of the economy, and substantially improves the out-of-sample performance of this class of models. In a…