Nowcasting del PIB argentino a través de un modelo de corrección de errores flexible

Frank, Luis (2025): Nowcasting del PIB argentino a través de un modelo de corrección de errores flexible.

Abstract

The article proposes a nowcasting model to estimate Argentina's seasonally adjusted Monthly Estimator of Economic Activity (EMAE) using a reduced set of high-frequency economic variables (tax revenue, Portland cement dispatches, automobile sales, and electricity demand), available with a 5–7-day lag, covering data from January 2015 to June 2025. A traditional error correction model (ECM) is compared with a flexible version (FECM) that incorporates time-varying coefficients. The FECM, with $\lambda=1$, outperforms the ECM in accuracy (MAPE of 0.35 versus 1.04). Electricity demand and cement production are the most relevant indicators, while tax revenue has a lower impact. However, it is recommended to retain all variables, as their contribution depends on their joint inclusion. Additionally, a hybrid model that recursively updates parameters is proposed, offering an efficient alternative for real-time economic monitoring.

• Item Type: MPRA Paper
• English Title: Nowcasting Argentine's GDP through a flexible error correction model
• Language: Spanish
• Keywords: nowcasting, flexible ECM, Argentina, GDP
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods

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