The nowcast revision analysis extended

The nowcast revision analysis is about the effect of new observations, data revisions, and parameter changes on a nowcast of a fixed target variable. Previously, only the new-observations effect can be broken down by variable. We provide a method for doing the same for the data-revisions and paramet...

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Bibliographic Details
Published inEconomics letters Vol. 209; p. 110112
Main Authors Hayashi, Fumio, Tachi, Yuta
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.12.2021
Elsevier Science Ltd
Subjects
Affine function
COVID-19
GDP
Gross Domestic Product
Impact analysis
Kalman recursion
Nowcast revision analysis
Pandemics
Regression analysis
C53
E37
Affine function
E17
Nowcast revision analysis
Kalman recursion
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Summary:The nowcast revision analysis is about the effect of new observations, data revisions, and parameter changes on a nowcast of a fixed target variable. Previously, only the new-observations effect can be broken down by variable. We provide a method for doing the same for the data-revisions and parameter-revisions effects as well. The method is applied to the COVID-battered U.S. GDP growth from 2020:Q1 to Q2. •Revisions of a nowcast arise from new observations and data revisions.•The new-observations and the data-revisions effects can be broken down by variable.•Nowcast changes due to parameter changes, too, can be broken down.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2021.110112