Generalized Nowcast Revision Analysis

17 Pages Posted: 16 Aug 2021

See all articles by Fumio Hayashi

Fumio Hayashi

National Graduate Institute for Policy Studies; GRIPS

Yuta Tachi

Reitaku University

Date Written: August 12, 2021

Abstract

The nowcast revision analysis is about how a nowcast of the target variable is revised in response to data releases in real time. The content of a data release includes data revisions as well as new observations. The nowcast also changes when the model parameter is revised. The existing revision analysis is capable of breaking down the new-observations effect on the nowcast into contributions from individual indicator variables, but no such breakdown is available for the data-revisions effect and the parameter-revisions effect. This paper shows how the breakdown can be applied to all three effects. For illustration, the new method is applied to nowcasting U.S. GDP growth for 2021:Q2.

Keywords: nowcast revision analysis, Kalman recursion, least squares projection

JEL Classification: E17, E37, C53

Suggested Citation

Hayashi, Fumio and Tachi, Yuta, Generalized Nowcast Revision Analysis (August 12, 2021). Available at SSRN: https://ssrn.com/abstract=3904418 or http://dx.doi.org/10.2139/ssrn.3904418

Fumio Hayashi (Contact Author)

National Graduate Institute for Policy Studies ( email )

Roppongi 7-22-1
Minato-ku
Tokyo, 106-0032
Japan

HOME PAGE: http://https://sites.google.com/site/fumiohayashi/home

GRIPS ( email )

7-22-1 Roppongi, Minato-Ku
Tokyo 106-8677, Tokyo 106-8677
Japan

Yuta Tachi

Reitaku University ( email )

1-1 Hikarigaoka
Kashiwa, Chiba 271-8686
Japan

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