Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)

Economics suffers from a blurred view of the economy due to the delay in the official publication of macroeconomic variables and, essentially, of the most important variable of real GDP. Therefore, this paper aimed at nowcasting GDP in India based on high-frequency data released early. Instead of us...

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Autores principales:	Pradeep Mishra, Khder Alakkari, Mostafa Abotaleb, Pankaj Kumar Singh, Shilpi Singh, Monika Ray, Soumitra Sankar Das, Umme Habibah Rahman, Ali J. Othman, Nazirya Alexandrovna Ibragimova, Gulfishan Firdose Ahmed, Fozia Homa, Pushpika Tiwari, Ritisha Balloo
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	nowcasting real GDP economic policy uncertainty consumer prices index mixed-data sampling almon weighting structural break Bibliography. Library science. Information resources Z
Acceso en línea:	https://doaj.org/article/979abbb289ca47bfb18e0f4f94a0662b
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spelling	oai:doaj.org-article:979abbb289ca47bfb18e0f4f94a0662b2021-11-25T17:19:50ZNowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)10.3390/data61101132306-5729https://doaj.org/article/979abbb289ca47bfb18e0f4f94a0662b2021-11-01T00:00:00Zhttps://www.mdpi.com/2306-5729/6/11/113https://doaj.org/toc/2306-5729Economics suffers from a blurred view of the economy due to the delay in the official publication of macroeconomic variables and, essentially, of the most important variable of real GDP. Therefore, this paper aimed at nowcasting GDP in India based on high-frequency data released early. Instead of using a large set of data thus increasing statistical complexity, two main indicators of the Indian economy (economic policy uncertainty and consumer price index) were relied on. The paper followed the MIDAS–Almon (PDL) weighting approach, which allowed us to successfully capture structural breaks and predict Indian GDP for the second quarter of 2021, after evaluating the accuracy of the nowcasting and out-of-sample prediction. Our results indicated low values of the RMSE in the sample and when predicting the out-of-sample1- and 4-quarter horizon, but RMSE increased when predicting the 10-quarter horizon. Due to the effect of the short-term structural break, we found that RMSE values decreased for the last prediction point.Pradeep MishraKhder AlakkariMostafa AbotalebPankaj Kumar SinghShilpi SinghMonika RaySoumitra Sankar DasUmme Habibah RahmanAli J. OthmanNazirya Alexandrovna IbragimovaGulfishan Firdose AhmedFozia HomaPushpika TiwariRitisha BallooMDPI AGarticlenowcasting real GDPeconomic policy uncertaintyconsumer prices indexmixed-data samplingalmon weightingstructural breakBibliography. Library science. Information resourcesZENData, Vol 6, Iss 113, p 113 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	nowcasting real GDP economic policy uncertainty consumer prices index mixed-data sampling almon weighting structural break Bibliography. Library science. Information resources Z
spellingShingle	nowcasting real GDP economic policy uncertainty consumer prices index mixed-data sampling almon weighting structural break Bibliography. Library science. Information resources Z Pradeep Mishra Khder Alakkari Mostafa Abotaleb Pankaj Kumar Singh Shilpi Singh Monika Ray Soumitra Sankar Das Umme Habibah Rahman Ali J. Othman Nazirya Alexandrovna Ibragimova Gulfishan Firdose Ahmed Fozia Homa Pushpika Tiwari Ritisha Balloo Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)
description	Economics suffers from a blurred view of the economy due to the delay in the official publication of macroeconomic variables and, essentially, of the most important variable of real GDP. Therefore, this paper aimed at nowcasting GDP in India based on high-frequency data released early. Instead of using a large set of data thus increasing statistical complexity, two main indicators of the Indian economy (economic policy uncertainty and consumer price index) were relied on. The paper followed the MIDAS–Almon (PDL) weighting approach, which allowed us to successfully capture structural breaks and predict Indian GDP for the second quarter of 2021, after evaluating the accuracy of the nowcasting and out-of-sample prediction. Our results indicated low values of the RMSE in the sample and when predicting the out-of-sample1- and 4-quarter horizon, but RMSE increased when predicting the 10-quarter horizon. Due to the effect of the short-term structural break, we found that RMSE values decreased for the last prediction point.
format	article
author	Pradeep Mishra Khder Alakkari Mostafa Abotaleb Pankaj Kumar Singh Shilpi Singh Monika Ray Soumitra Sankar Das Umme Habibah Rahman Ali J. Othman Nazirya Alexandrovna Ibragimova Gulfishan Firdose Ahmed Fozia Homa Pushpika Tiwari Ritisha Balloo
author_facet	Pradeep Mishra Khder Alakkari Mostafa Abotaleb Pankaj Kumar Singh Shilpi Singh Monika Ray Soumitra Sankar Das Umme Habibah Rahman Ali J. Othman Nazirya Alexandrovna Ibragimova Gulfishan Firdose Ahmed Fozia Homa Pushpika Tiwari Ritisha Balloo
author_sort	Pradeep Mishra
title	Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)
title_short	Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)
title_full	Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)
title_fullStr	Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)
title_full_unstemmed	Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)
title_sort	nowcasting india economic growth using a mixed-data sampling (midas) model (empirical study with economic policy uncertainty–consumer prices index)
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/979abbb289ca47bfb18e0f4f94a0662b
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Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)

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