Nowcasting Report
What is the schedule for reporting and updating the nowcast for each quarter?
We start reporting the nowcast of GDP growth for a reference quarter one week after the publication of the second official GDP estimate for two quarters prior. For example, we began reporting the nowcast for 2017:Q2 on Friday, March 10, 2017, following the government’s second estimate of 2016:Q4 GDP on Tuesday, February 28, 2017. We continue to update the nowcast for a reference quarter until the release of the advance GDP estimate, roughly one month after the end of the quarter. For 2017:Q2, this occurred on July 28, 2017, at which point we stopped updating the nowcast for this quarter. We retain the reference quarter’s progression plot and detail table in the Nowcasting Report until the publication of the second GDP estimate, roughly two months after the end of the quarter. Following the second estimate of 2017:Q2 GDP on August 30, 2017, we removed 2017:Q2 from the Nowcasting Report and began reporting the nowcast for 2017:Q4.
What are the major conceptual differences between the New York Fed Staff Nowcast and the Atlanta Fed's Nowcast?
The New York Fed Staff Nowcast and the Atlanta Fed’s GDPNow are both based on statistical filtering techniques applied to a dynamic factor model. These techniques are very common in big data analytics since they effectively summarize the information contained in large data sets through a small number of common factors. The general framework for macroeconomic nowcasting has been developed in the academic literature over the past ten years, as explained in our methodology section. The New York Fed Staff Nowcast is a straightforward application of the most advanced techniques developed in this literature. GDPNow adapts these techniques to mimic the methods used by the U.S. Bureau of Economic Analysis to estimate real GDP growth, as GDPNow’s own FAQs make clear.
Because GDPNow and the New York Fed Staff Nowcast are different models, they can generate different forecasts of real GDP growth. Our policy is not to comment on or interpret any differences between the forecasts of these two models.
Is the “annual rate” the y/y growth rate?
No. We track the annualized quarterly (“q/q”) growth rate of GDP, not the four-quarter (“y/y”) growth rate.
Can we obtain the data underlying this analysis?
To make it easier for nowcast followers to better understand and replicate our results, we share the MATLAB code for our model and a snapshot of data sets from the past year on Github at https://github.com/FRBNY-TimeSeriesAnalysis/Nowcasting. The newest releases for all data series are publicly available from source websites; real-time historical data for most series can be retrieved from the St. Louis Fed’s ALFRED database. Unfortunately, we cannot provide the complete data set used in our model because the historical data for a handful of series (including the ISM manufacturing and nonmanufacturing indexes) are proprietary. As a consequence, the replication files do not exactly reproduce the published version of the New York Fed Staff Nowcast.
Contact Us
If you have any questions about the Nowcasting Report, submit them by e-mail to: research.publications@ny.frb.org.