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.

Data and Resources

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.