Riksbank’s new approach to nowcasting reviewed
Authors evaluate the forecasting performance of a dynamic factor model
Sveriges Riksbank has expanded its approach to ‘nowcasting' data and research in its latest Economic Review illustrates how one new model has improved its forecasting performance.
In Nowcasting, Michael Andersson and Ard den Reijer say new models have been introduced to "explicitly take into account the fact that indicator variables are observed at different frequencies and are published with different time lags" – a common problem when working with different sets of data over short time
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