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Nikoleta Anesti
;
Ana Beatriz Galvão
;
Silvia Miranda-Agrippino

uncertain kingdom: nowcasting gross domestic product and its revisions (replication data)

We propose a release-augmented dynamic factor model (RA-DFM) that allows to quantify the role of a country's data flow in nowcasting both early Gross Domestic Product (GDP) releases and subsequent revisions of official estimates. We use the RA-DFM to study UK GDP early revision rounds and assemble a comprehensive and novel mixed-frequency dataset that features 12 years of real-time data vintages. The RA-DFM improves over the standard DFM in real time when forecasting the first release each quarter. Economic and survey data help to predict the first revision round.

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Suggested Citation

Anesti, Nikoleta; Galvão, Ana Beatriz; Miranda-Agrippino, Silvia (2022): Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022327.072020