Nowcasting

Nowcasting is often defined as the prediction of the present, the very near future and the very recent past. The plug-in developed at the National Bank of Belgium helps to operationalize the process of nowcasting. It can be used to specify and estimate dynamic factor models and visualize how the real-time dataflow updates expectations, as for instance in Banbura and Modugno (2010). The software can also be used to perform pseudo out-of-sample forecasting evaluations that consider the calendar of data releases, contributing to the formalization of the nowcasting problem originally proposed by Giannone, et al. (2008) or Evans (2005).

Examples built with JDemetra+Nowcasting :

• Nowcasting Belgium, by De-Antonio-Liedo D. (2015) Eurostat Review of National Accounts and Macroeconomic Indicators, Special Issue on New Techniques and Technologies for Statistics 2, 7-41.
• Nowcasting euro area GDP: Understanding the role of qualitative surveys, by R. Basselier, D. de Antonio Liedo and G. Langenus (2016) Journal of Business Cycle Research 14, 1-46 (working paper and model)
• Nowcasting Spanish GDP, by De-Antonio-Liedo D. and E. Fernandez (2016) International Journal of Computational Economics and Econometrics, 7,5-42 (pre-print / download data and model workspace)
• US output-inflation interactions, by Charles P., M. Maggi, J.Palate and D. de-Antonio-Liedo, (2015)
• Nowcasting Euro Area GDP (download examples based on Banbura and Modugno, 2014)
• Nowcasting German GDP (download data and model workspace or download presentation)
• Forecasting models for business cycle indicators in all the European Union countries: download data and feel free to add more data to build your own models.

Overview

1. Open an Existing Model (MODEL tab)
   • Open a model
   • Refresh the data
2. Create a New Model or Improve an Existing one (MODEL tab)
   • Load the data first
   • Build a model for your data
3. Estimation (PROCESSING tab)
   • Options: EM, Levenberg-Marquardt
   • Example: Estimating a large model
4. Results from the estimation (OUTPUT tab)
   • Estimation: fit, residuals, etc
   • Forecasts
5. News Analysis (NEWS tab)
6. Real-Time Simulation (SIMULATION tab)
   • Simulation set-up
   • Visual Evaluation
   • Accuracy Tests
   • Forecasting Uncertainty