Benchmarking Econometric and Machine Learning Methodologies in Nowcasting. (arXiv:2205.03318v1 [stat.ML])

Web: http://arxiv.org/abs/2205.03318

Nowcasting can play a key role in giving policymakers timelier insight to
data published with a significant time lag, such as final GDP figures.
Currently, there are a plethora of methodologies and approaches for
practitioners to choose from. However, there lacks a comprehensive comparison
of these disparate approaches in terms of predictive performance and
characteristics. This paper addresses that deficiency by examining the
performance of 12 different methodologies in nowcasting US quarterly GDP
growth, including all the methods most commonly …

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