Search results for: nowcasting

Authors: Ferry Kurniawan

Abstract:

In this paper, we nowcast quarterly output growth in Indonesia by exploiting higher frequency data (monthly indicators) using a mixed-frequency factor model and exploiting both quarterly and monthly data. Nowcasting quarterly GDP in Indonesia is particularly relevant for the central bank of Indonesia which set the policy rate in the monthly Board of Governors Meeting; whereby one of the important step is the assessment of the current state of the economy. Thus, having an accurate and up-to-date quarterly GDP nowcast every time new monthly information becomes available would clearly be of interest for central bank of Indonesia, for example, as the initial assessment of the current state of the economy -including nowcast- will be used as input for longer term forecast. We consider a small scale mixed-frequency factor model to produce nowcasts. In particular, we specify variables as year-on-year growth rates thus the relation between quarterly and monthly data is expressed in year-on-year growth rates. To assess the performance of the model, we compare the nowcasts with two other approaches: autoregressive model –which is often difficult when forecasting output growth- and Mixed Data Sampling (MIDAS) regression. In particular, both mixed frequency factor model and MIDAS nowcasts are produced by exploiting the same set of monthly indicators. Hence, we compare the nowcasts performance of the two approaches directly. To preview the results, we find that by exploiting monthly indicators using mixed-frequency factor model and MIDAS regression we improve the nowcast accuracy over a benchmark simple autoregressive model that uses only quarterly frequency data. However, it is not clear whether the MIDAS or mixed-frequency factor model is better. Neither set of nowcasts encompasses the other; suggesting that both nowcasts are valuable in nowcasting GDP but neither is sufficient. By combining the two individual nowcasts, we find that the nowcast combination not only increases the accuracy - relative to individual nowcasts- but also lowers the risk of the worst performance of the individual nowcasts.

Keywords: nowcasting, mixed-frequency data, factor model, nowcasts combination

Procedia PDF Downloads 330

Authors: Ladislav Kristoufek, Helen Susannah Moat, Tobias Preis

Abstract:

Data on the number of people who have committed suicide tends to be reported with a substantial time lag of around two years. We examine whether online activity measured by Google searches can help us improve estimates of the number of suicide occurrences in England before official figures are released. Specifically, we analyse how data on the number of Google searches for the terms “depression” and “suicide” relate to the number of suicides between 2004 and 2013. We find that estimates drawing on Google data are significantly better than estimates using previous suicide data alone. We show that a greater number of searches for the term “depression” is related to fewer suicides, whereas a greater number of searches for the term “suicide” is related to more suicides. Data on suicide related search behaviour can be used to improve current estimates of the number of suicide occurrences.

Keywords: nowcasting, search data, Google Trends, official statistics

Procedia PDF Downloads 356

Authors: P. Intaracharoen, P. Chantraket, C. Detyothin, S. Kirtsaeng

Abstract:

Radar reflectivity data from Phimai weather radar station of DRRAA (Department of Royal Rainmaking and Agricultural Aviation) were used to analyzed the rainstorm characteristics via Thunderstorm Identification Tracking Analysis and Nowcasting (TITAN) algorithm. The Phimai weather radar station was situated at Nakhon Ratchasima province, northeastern Thailand. The data from 277 days of rainstorm events occurring from May 2016 to May 2017 were used to investigate temporal distribution characteristics of convective individual rainclouds. The important storm properties, structures, and their behaviors were analyzed by 9 variables as storm number, storm duration, storm volume, storm area, storm top, storm base, storm speed, storm orientation, and maximum storm reflectivity. The rainstorm characteristics were also examined by separating the data into two periods as wet and dry season followed by an announcement of TMD (Thai Meteorological Department), under the influence of southwest monsoon (SWM) and northeast monsoon (NEM). According to the characteristics of rainstorm results, it can be seen that rainstorms during the SWM influence were found to be the most potential rainstorms over northeastern region of Thailand. The SWM rainstorms are larger number of the storm (404, 140 no./day), storm area (34.09, 26.79 km²) and storm volume (95.43, 66.97 km³) than NEM rainstorms, respectively. For the storm duration, the average individual storm duration during the SWM and NEM was found a minor difference in both periods (47.6, 48.38 min) and almost all storm duration in both periods were less than 3 hours. The storm velocity was not exceeding 15 km/hr (13.34 km/hr for SWM and 10.67 km/hr for NEM). For the rainstorm reflectivity, it was found a little difference between wet and dry season (43.08 dBz for SWM and 43.72 dBz for NEM). It assumed that rainstorms occurred in both seasons have same raindrop size.

Keywords: rainstorm characteristics, weather radar, TITAN, Northeastern Thailand

Procedia PDF Downloads 190