Code and templates for Linzenich, J., and Meunier, B. (2024). Nowcasting Made Easier: a Toolbox for Real-Time Predictions. Working Paper Series, No 3004, European Central Bank
A detailed user guide for building a model using the toolbox is available in Appendix A of the working paper.
A detailed user guide for getting the policy outputs using the toolbox is available in Appendix B of the working paper.
When using models via the nowcasting toolbox, users are kindly requested to cite the original papers:
- Dynamic factor model (DFM): Bańbura, M., and Modugno, M. (2014). Maximum likelihood estimation of factor models on datasets with arbitrary pattern of missing data. Journal of Applied Econometrics, 29(11), 133–160
- DFM with block structure (on top of above): Delle Chiaie, S., Ferrara, L., and Giannone, D. (2022). "Common factors of commodity prices", Journal of Applied Econometrics, 37(3), 461–476
- Large Bayesian vector auto-regression: Cimadomo, J., Giannone, D., Lenza, M., Monti, F., and Sokol, A. (2022). Nowcasting with large Bayesian vector autoregressions. Journal of Econometrics, 231(2), 500–519
- Combination of bridge equations: Bańbura, M., Belousova, I., Bodnár, K., and Tóth, M. B. (2023). Nowcasting employment in the euro area. Working Paper Series, No 2815, European Central Bank
The toolbox builds on long-standing effort in the External Developments (EXT) division of the European Central Bank (ECB) to develop a nowcasting tool. This involved a number of colleagues notably Simona Delle Chiaie, Frederik Kurcz, and Gabriel Perez-Quiros who conducted previous nowcasting tools in the division, as well as Davide Brignone, Alistair Dieppe, Julia Doleschel, Rinalds Gerinovics, and Roberta de Stefani.
These programmes are the responsibilities of the authors and not of the ECB and all errors and ommissions remain those of the authors.
In case of questions, please contact the authors at baptistemeunier@hotmail.fr and janlinzenich@gmail.com.