Real-Time Nowcasting the US Output Gap: Singular Spectrum Analysis at Work

Research output: Contribution to journalArticlepeer-review

Abstract

We explore a new approach for nowcasting the output gap based on singular spectrum analysis. Resorting to real-time vintages, a recursive exercise is conducted in order to assess the real-time reliability of our approach for nowcasting the US output gap, relative to some well-known benchmark models. For our application of interest, the preferred version of our approach is a multivariate singular spectrum analysis, where we use a Fisher g test to infer which components, within the standard business cycle range, should be included in the grouping step. We find that singular spectrum analysis provides a reliable assessment of the cyclical position of the economy in real time, with the multivariate approach outperforming its univariate counterpart substantially.
Original languageEnglish
Pages (from-to)185-198
Number of pages14
JournalInternational Journal of Forecasting
Volume33
Issue number1
Early online date2 Feb 2016
DOIs
Publication statusPublished - Jan 2017

Keywords

  • Band-pass filter,Fisher g test,Multivariate singular spectrum analysis,Real-time data,Singular spectrum analysis,US output gap

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