The nowcast revision analysis extended

• Published in: Economics letters Vol. 209; p. 110112
• Main Authors: Hayashi, Fumio, Tachi, Yuta
• Format: Journal Article
• Language: English
• 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

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...