Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions
提出一种增强版动态因子模型，利用英国12年实时数据预测GDP首次发布及后续修订，发现经济与调查数据有助于预测首次修订。
Summary 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.