Nowcasting is not just contemporaneous forecasting

Journal article

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.

Authors: Castle, J; Fawcett, N; Hendry, D

• Publication status: Published
• Peer review status: Peer reviewed
• Publisher: SAGE Publications
• Journal: National Institute Economic Review
• Issue: 1
• Publication date: 2009-10-01
• DOI: 10.1177/0027950109354412
• EISSN: 1741-3036
• ISSN: 0027-9501
• Keywords: Euro Area GDP growth; SBTMR; contemporaneous information; impulse-indicator saturation; robust nowcasts; Journal Article; Autometrics; Nowcasting; location shifts