Nowcasting Mexico’s Short-Term GDP Growth in Real-Time: A Factor Model versus Professional Forecasters
Abstract

We introduce a novel real-time database for the Mexican economy and propose a small-scale mixed-frequency dynamic factor model for nowcasting Mexico’s short-term GDP growth in real-time. We compare our factor-based backcasts, nowcasts, and forecasts with those of the consensus of the survey of professional forecasters during the period from the second quarter of 2008 through the second quarter of 2014. Our results suggest that our factor-based backcasts, nowcasts, and forecasts outperform those of the consensus of professional forecasters in real-time comparisons despite some structural instability during the 2008–09 crisis and its aftermath in 2010.


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