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dc.titleWhich One Predicts Better?: Comparing Different GDP Nowcasting Methods Using Brazilian Data
dc.contributor.authorOliveira, Lucas Gabriel Martins de
dc.contributor.orgunitCountry Office in Brazil
dc.coverageBrazil
dc.coverageBrazil
dc.date.available2023-07-14T00:07:00
dc.date.issue2023-07-14T00:07:00
dc.description.abstractThe objective of this paper is to develop a basic framework for the implementation of a GDP nowcasting strategy using Brazilian data. Our goal is to identify a scalable strategy that allows us to project the Brazilian GDP in real time at any point during the current quarter. In the paper we detail the survey of classical techniques and also of techniques usually known by market practitioners as "machine learning methods". We survey the literature since the first work on estimating business cycles and document the evolution of this literature until the insertion of machine learning methods. Additionally, we perform backtesting exercises, estimate several candidate models for GDP nowcasting. Finally, we evaluate the forecasting power of all models against a naive model and a market expectations model. We demonstrate that a combination of machine learning models based on the distance of forecasts to the average market expectations defeats the fully informed market expectations, while the same is not possible for selected classical nowcasting models.
dc.format.extent31
dc.identifier.doihttp://dx.doi.org/10.18235/0005004
dc.identifier.urlhttps://publications.iadb.org/publications/english/document/Which-One-Predicts-Better-Comparing-Different-GDP-Nowcasting-Methods-Using-Brazilian-Data.pdf
dc.language.isoen
dc.publisherInter-American Development Bank
dc.subjectInflation
dc.subjectPotential Output
dc.subjectOutput Gap
dc.subjectMacroeconomic Policy
dc.subjectDevelopment Bank
dc.subjectDebtor Finance
dc.subjectPrediction Market
dc.subjectGross Domestic Product
dc.subjectEconomy
dc.subjectMachine Learning
dc.subjectLearning Strategy
dc.subjectIndustrial Productivity
dc.subjectLearning
dc.subjectEconomic Development
dc.subject.jelcodeC53 - Forecasting and Prediction Methods • Simulation Methods
dc.subject.jelcodeC45 - Neural Networks and Related Topics
dc.subject.jelcodeE17 - Forecasting and Simulation: Models and Applications
dc.subject.keywordsMacroeconometrics;machine learning;Forecasting;Nowcasting;GDP;Brazil
dc.typeDiscussion Papers
idb.identifier.pubnumberIDB-DP-01012
idb.operationBR-P1216
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