A nowcasting model for Ecuador: Implementing a time-varying mean output growth

González‐Astudillo, Manuel; Baquero, Daniel

doi:10.1016/j.econmod.2019.01.010

Cited by 5 publications

(2 citation statements)

References 19 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The selected variables reflect the macroeconomic activity of the country and are frequently updated. These variables are based on the data set collected by González-Astudillo and Baquero ( 2019 ) for their nowcasting model for Ecuador’s real GDP growth rate. All in all, we use 24 variables grouped into six categories: (i) banking and monetary sector, (ii) international trade, (iii) prices and confidence indexes, (iv) real sectoral indexes, (v) government finances, and (vi) labor market indexes.…”

Section: Datamentioning

confidence: 99%

See 1 more Smart Citation

Measuring uncertainty: A streamlined application for the Ecuadorian economy

2021

Self Cite

View full text Add to dashboard Cite

This paper develops a macroeconomic uncertainty index based on the multistage procedure that combines maximum likelihood and Bayesian estimation methods proposed by Jurado et al. (Am Econ Rev 105(3):1177–1216, 2015). Our approach streamlines the computation of the macroeconomic uncertainty index by specifying a state-space model estimated by maximum likelihood that allows us to obtain in one step the parameters of the model, the dynamic factors, and the forecast errors of the macroeconomic variables used to construct the index. Moreover, we estimate stochastic volatility models on the forecast errors also by maximum likelihood using a density filter that proves to be faster than a Bayesian estimation. After showing that our methodology produces reasonable results for the USA, we apply it to compute a macroeconomic uncertainty index for Ecuador, becoming the first index of this kind for a small developing or middle-income country. The results show that the Ecuadorian economy is more volatile and less predictable during recessions. We also provide evidence that macroeconomic uncertainty is detrimental to economic activity, finding that the responses of non-oil output, employment in the formal sector, and consumer prices to macroeconomic uncertainty shocks are sizable and persistent. Supplementary Information The online version contains supplementary material available at 10.1007/s00181-021-02069-5.

show abstract

Section: Datamentioning

confidence: 99%

“… 17 We construct a monthly estimate of non-oil GDP using the mixed-frequency approach of the nowcasting procedure proposed by González-Astudillo and Baquero ( 2019 ). …”

mentioning

confidence: 99%

Measuring uncertainty: A streamlined application for the Ecuadorian economy

2021

Self Cite

View full text Add to dashboard Cite

show abstract

Future directions in nowcasting economic activity: A systematic literature review

Stundžienė

Pilinkienė

Bruneckienė

et al. 2023

Journal of Economic Surveys

View full text Add to dashboard Cite

This paper presents a systematic review of research papers on nowcasting economic activity. The study summarizes the state‐of‐the‐art nowcasting approaches and methods, describes the indicators used in this analysis, highlights the existing gaps, and proposes future research directions. Based on an analysis of 193 articles on nowcasting in economics that were published in the journals indexed in the Web of Science Core Collection database, future research directions in nowcasting are described in this paper. This research indicates that the focus of economic activity nowcasting should rely on the use of real‐time data and alternative indicators in order to enhance the predictive ability.

show abstract

Un método para obtener datos de alta frecuencia del mercado laboral ecuatoriano

Carrillo Maldonado,

García,

Yaselga

2023

Cuadernos

View full text Add to dashboard Cite

Se propone un método de interpolación para ajustar datos agregados sin representatividad nacional de la encuesta de empleo del Ecuador. Para ello, se usa una corrección econométrica mediante la detección de quiebres estructurales. Los resultados muestran que los datos así ajustados concuerdan con la dinámica agregada del mercado laboral entre 2007 y 2019, de modo que mantienen los datos oficiales sin necesidad de incluir variables auxiliares. Dichos datos ajustados se incluyen en un modelo econométrico de oferta y demanda agregadas para mostrar que el método propuesto logra resultados similares a los de la literatura.

show abstract

A nowcasting model for Ecuador: Implementing a time-varying mean output growth

Cited by 5 publications

References 19 publications

Measuring uncertainty: A streamlined application for the Ecuadorian economy

Measuring uncertainty: A streamlined application for the Ecuadorian economy

Future directions in nowcasting economic activity: A systematic literature review

Un método para obtener datos de alta frecuencia del mercado laboral ecuatoriano

Contact Info

Product

Resources

About