NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Dongho Song

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Working Papers

December 2013Real-Time Forecasting with a Mixed-Frequency VAR
with Frank Schorfheide: w19712
This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to implement a data-driven hyperparameter selection. Using a real-time data set, we evaluate forecasts from the mixed-frequency VAR and compare them to standard quarterly-frequency VAR and to forecasts from MIDAS regressions. We document the extent to which information that becomes available within the quarter improves the forecasts in real time.
April 2013Improving GDP Measurement: A Measurement-Error Perspective
with S. Boraǧan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide: w18954
We provide a new and superior measure of U.S. GDP, obtained by applying optimal signal-extraction techniques to the (noisy) expenditure-side and income-side estimates. Its properties – particularly as regards serial correlation – differ markedly from those of the standard expenditure-side measure and lead to substantially-revised views regarding the properties of GDP.
September 2011Improving GDP Measurement: A Forecast Combination Perspective
with S. Boragan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide: w17421
Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined estimate of GDP growth for the U.S., GDPC. We compare GDPC to GDPE and GDPI , with particular attention to behavior over the business cycle. We discuss several variations and extensions.

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