nowcast: Economic Nowcasting with Bridge Equations and Real-Time Evaluation

Provides bridge equations with optional autoregressive terms for nowcasting low-frequency macroeconomic variables (e.g. quarterly GDP) from higher-frequency indicators (e.g. monthly retail sales). Handles the ragged-edge problem where different indicators have different publication lags via mixed-frequency alignment. Includes pseudo-real-time evaluation with expanding or rolling windows, and the Diebold-Mariano test for comparing forecast accuracy following Harvey, Leybourne, and Newbold (1997) doi:10.1016/S0169-2070(96)00719-4 . No API calls; designed to work with data from any source.

See also

Useful links:

• https://github.com/charlescoverdale/nowcast

• Report bugs at https://github.com/charlescoverdale/nowcast/issues

Author

Maintainer: Charles Coverdale charlesfcoverdale@gmail.com [copyright holder]