Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions
不确定的王国:国内生产总值及其修订的即时预测
Summary We propose a release‐augmented dynamic factor model (RA‐DFM) that allows to quantify the role of a country's data flow in nowcasting both early Gross Domestic Product (GDP) releases and subsequent revisions of official estimates. We use the RA‐DFM to study UK GDP early revision rounds and assemble a comprehensive and novel mixed‐frequency dataset that features 12 years of real‐time data vintages. The RA‐DFM improves over the standard DFM in real time when forecasting…