Czech study finds DFM ‘nowcasting' adds value in calculating real-time GDP


An economist at the Czech National Bank (CNB) has conducted a study that finds that using a dynamic factor model (DFM) to ‘nowcast' Czech GDP in real time can add value and accuracy to the CNB's existing estimates of real-time GDP.

The study, Nowcasting Czech GDP in Real Time by Marek Rusnak, uses historical data for 2005–2012, and its results suggest that the accuracy of the DFM-based nowcasts is "comparable to that of the judgemental nowcasts of the CNB", but that a "simple average of the DFM

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