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ChadFulton / tsa-notebooks

Jupyter notebooks on time series econometrics topics.
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Nowcasting update question #21

Open gcrcap opened 3 years ago

gcrcap commented 3 years ago

Hi Chad, Thank you so much for your work on statsmodels and DynamicFactorMQ, it's an extremely useful tool. I only have one question: when I try to replicate your results for nowcasting US GDP, whenever there is a new monthly observation set occurring the same month of the quarterly GDP release the nowcast does not update. For example: new set of monthly information for June 2020, the GDP nowcast for 2020 Q2 is the same as the one with data up to May 2020. Can I ask you why is that? Many thanks.

ChadFulton commented 3 years ago

Thanks for this note. The model can certainly handle monthly data in the same month as the quarterly GDP release, so I imagine there's just something that needs to be changed about how the notebook is set up. I'll take a look as soon as I can.

gcrcap commented 3 years ago

Thanks for the effort Chad, really appreciate it. Yes, it seems that whenever using get_prediction/predict, the last month of the quarter observations are not considered to forecast the current GDP quarter. Thanks.