@article{decarvalho2017, title = {Real-Time Nowcasting the {{US}} Output Gap: {{Singular}} Spectrum Analysis at Work}, issn = {0169-2070}, shorttitle = {Real-Time Nowcasting the {{US}} Output Gap}, doi = {10.1016/j.ijforecast.2015.09.004}, abstract = {We explore a new approach for nowcasting the output gap based on singular spectrum analysis. Resorting to real-time vintages, a recursive exercise is conducted in order to assess the real-time reliability of our approach for nowcasting the US output gap, relative to some well-known benchmark models. For our application of interest, the preferred version of our approach is a multivariate singular spectrum analysis, where we use a Fisher g test to infer which components, within the standard business cycle range, should be included in the grouping step. We find that singular spectrum analysis provides a reliable assessment of the cyclical position of the economy in real time, with the multivariate approach outperforming its univariate counterpart substantially.}, timestamp = {2017-01-08T19:23:29Z}, urldate = {2016-04-17}, journal = {International Journal of Forecasting}, author = {{de Carvalho}, Miguel and Rua, Ant{\'o}nio}, year = {2017}, keywords = {Band-pass filter,Fisher g test,Multivariate singular spectrum analysis,Real-time data,Singular spectrum analysis,US output gap}, pages = {185--198}, file = {decarvalho2016a.pdf:/Users/mdecarvalho/Dropbox/Reading/decarvalho2016a.pdf:application/pdf} }