Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis.

ABSTRACT: We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed-frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across different models, extending the model specification by adding MA terms, enhancing the estimation method by taking a similarity approach, and adjusting the forecasts to put them back on track using a specific form of intercept correction. Among these methods, adjusting the original nowcasts and forecasts by an amount similar to the nowcast and forecast errors made during the financial crisis and subsequent recovery seems to produce the best results for the US, notwithstanding the different source and cha

SUBMITTER: Foroni C 

PROVIDER: S-EPMC8846941 | biostudies-literature | 2022 Apr-Jun

REPOSITORIES: biostudies-literature