Tuesday, December 11, 2018

Panel Structural VARs and the PSVAR add-in

Author and guest blog by Davaajargal Luvsannyam

Panel SVARs have been used to address a variety of issues of interest to policymakers and applied economists. Panel SVARs are particularly suitable to analyze the transmission of idiosyncratic shocks across units and time. For example, Canova et al. (2012) have studied how U.S. interest rate shocks are propagated to 10 European economies, 7 in the Euro area and 3 outside of it, and how German shocks are transmitted to the remaining nine economies. 

Tuesday, December 4, 2018

Nowcasting GDP on a Daily Basis

Author and guest blog by Michael Anthonisz, Queensland Treasury Corporation.
In this blog post, Michael demonstrates the use of MIDAS in EViews to nowcast Australian GDP growth on a daily basis.

"Nowcasts" are forecasts of the here and now ("now" + "forecast" = "nowcast"). They are forecasts of the present, the near future or the recent past. Specifically, nowcasts allow for real-time tracking or forecasting of a lower frequency variable based on other series which are released at a similar or higher frequency.