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Nowcasting is not Just Contemporaneous Forecasting

Published online by Cambridge University Press:  26 March 2020

Jennifer L. Castle ,
Nicholas W.P. Fawcett  and
David F. Hendry
Jennifer L. Castle*
Affiliation:
Department of Economics, Oxford University
Nicholas W.P. Fawcett*
Affiliation:
Department of Economics, Oxford University
David F. Hendry*
Affiliation:
Department of Economics, Oxford University
*
E-mail: jennifer.castle@nuffield.ox.ac.uk
E-mail: nicholas.fawcett@lmh.ox.ac.uk
E-mail: david.hendry@nuffield.ox.ac.uk
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Abstract

We consider the reasons for nowcasting, the timing of information and sources thereof, especially contemporaneous data, which introduce different aspects compared to forecasting. We allow for the impact of location shifts inducing nowcast failure and nowcasting during breaks, probably with measurement errors. We also apply a variant of the nowcasting strategy proposed in Castle and Hendry (2009) to nowcast Euro Area GDP growth. Models of disaggregate monthly indicators are built by automatic methods, forecasting all variables that are released with a publication lag each period, then testing for shifts in available measures including survey data, switching to robust forecasts of missing series when breaks are detected.

Keywords

Nowcastingcontemporaneous informationAutometricslocation shiftsimpulse-indicator saturationrobust nowcastsEuro Area GDP growthC51C52
Type
Articles
Information
National Institute Economic Review , Volume 210 , October 2009 , pp. 71 - 89
Copyright
Copyright © 2009 National Institute of Economic and Social Research

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Footnotes

∗

We are grateful to Mike Clements, James Mitchell and Martin Weale for helpful comments.

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