Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate
Küçük Resim Yok
Tarih
2018
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Bv
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The paper analyzes the point and density predictive performance of alternative nowcast combination schemes in the context of bridge equations for the Turkish unemployment rate. Furthermore, we also nowcast the unemployment rate by using dynamic factor models (DFMs). Our results indicate that most of the sophisticated forecast combination methods have better predictive accuracy than the simple forecast combinations, especially in higher forecast horizons, which constitutes a case for the nowcast combination puzzle. Furthermore, most of bridge equations with the advanced forecast combination schemes usually outperform DFMs which are assumed to be superior to the bridge equations. This latter result indicates that bridge equations augmented by advanced forecast combination schemes may be a viable alternative to the DFM. Finally, we show that real and labor variables play the most important role for nowcasting the Turkish unemployment rate, whereas financial variables and surveys do not seem to be beneficial. Overall, our results indicate that advanced combination schemes can increase the performance of nowcasting models.
Açıklama
Anahtar Kelimeler
Nowcasting, Unemployment, Dynamic Factor Model, Forecast Combination, Density Nowcasts, Bridge Equations, Euro-Area Gdp, Short-Term Forecasts, Real-Time Forecasts, Output Growth, Factor Models, Macroeconomic Data, Frequency Data, Data Set, Inflation, Performance
Kaynak
Economic Modelling
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
72
