Title Real-time forecasts of economic activity for Latin American economies / Philp Liu, Troy Matheson and Rafael Romeu

Published [Washington, D.C.] : International Monetary Fund, ©2011

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Description 1 online resource (26 pages) : color illustrations Series IMF working paper ; WP/11/98 IMF working paper ; WP/11/98. Contents Cover Page; Title Page; Copyright Page; Contents; I Introduction; II Models specification and estimation; A Baseline quarterly autoregressive model; B Pooled bridge equations; C Pooled bivariate VARs; D Bayesian VAR; E Dynamic factor model; III Data; 1 Summary of country economic indicators; 1 Latin America Ten Countries, normalized Real GDP (IMF WEO), 1980-2010; 2 Summary of economic indicators by category; 3 Estimation and forecast evaluation sample; IV Real-time forecast experiment; A The real-time problem; 4 Stylized data panel for different classes of variable B Real-time forecasting experiment2 Timing of nowcasts for an arbitrary quarter; C Variable selection and model parameters; 5 Parameter specification for DFM; V Results; A Nowcast accuracy; 6 RMSE of GDP nowcast across different models; B One-step ahead forecast accuracy; 7 RMSE of one-step ahead GDP forecast cast across different models; 3 Estimated common component using DFM against quarterly GDP growth; 4 Monthly growth indicator for Latin America; C Usefulness of external indicators; 8 Nowcast RMSE with and without external indicators for DFM; VI Concluding Remarks; I Data transformation Summary Macroeconomic policy decisions in real-time are based the assessment of current and future economic conditions. These assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are released infrequently with a (sometimes substantial) lag. This paper evaluates "nowcasts" and forecasts of real GDP growth using five alternative models for ten Latin American countries. The results indicate that the flow of monthly data helps to improve forecast accuracy, and the dynamic factor model consistently produces more accurate nowcasts and forecasts relative to other model specifications, across most of the countries we consider Bibliography Includes bibliographical references Subject Economic forecasting -- Latin America -- Econometric models Economic forecasting -- Econometric models Latin America Form Electronic book Author Matheson, Troy, author. Romeu, Rafael, 1975- author. International Monetary Fund. Western Hemisphere Department, issuing body. International Monetary Fund. Research Department, issuing body. ISBN 1283557193 9781283557191 9781462389919 1462389910 145525326X 9781455253265 9781455254293 1455254290

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