Statistics and Risk Management Seminar - 27/11/2015

Friday, 27 November 2015, 1:30 p.m.

Lecturer: Miguel de Carvalho, Pontificia Universidad Católica de Chile

Title: "Nowcasting Recessions? SSA at Work"

Local: Anfiteatro 2B, Edifício VII

Faculdade de Ciências e Tecnologia, Quinta da Torre, Caparica

Abstract: In this talk I will explore a new approach for nowcasting the output gap based on singular spectrum analysis. Resorting to real-time vintages, a recursive exercise is conducted so to assess the real-time reliability of our approach for nowcasting the US output gap, in comparison with some well-known benchmark models. For our applied setting of interest, the preferred version of our approach consists of 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 substantially the univariate counterpart.