Density Nowcasts and Model Combination: Nowcasting Euro‐Area GDP Growth over the 2008–09 Recession*
基于实时数据，研究如何组合硬指标和软指标来预测欧元区季度GDP增长，发现衰退期间软指标效用激增，但实时难以察觉，因此无硬数据时应等权重组合，有硬数据后应提高硬指标权重。
Abstract Combined density nowcasts for quarterly Euro‐area GDP growth are produced based on the real‐time performance of component models. Components are distinguished by their use of ‘hard’ and ‘soft’, aggregate and disaggregate, indicators. We consider the accuracy of the density nowcasts as within‐quarter indicator data accumulate. We find that the relative utility of ‘soft’ indicators surged during the recession. But as this instability was hard to detect in real‐time it helps, when producing density nowcasts unknowing any within‐quarter ‘hard’ data, to weight the different indicators equally. On receipt of ‘hard’ data for the second month in the quarter better calibrated densities are obtained by giving a higher weight in the combination to ‘hard’ indicators.