Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298359 
Year of Publication: 
2023
Series/Report no.: 
NBB Working Paper No. 445
Publisher: 
National Bank of Belgium, Brussels
Abstract: 
Common sense tells that historical data are more informative for the estimation of today's nowcasting models when observed in a similar economic state as today. We operationalise this intuition by proposing a state-based weighted estimation procedure of GDP nowcasting models, in which observations are weighted based on the similarity with the current economic state. For this end, we also construct new state variables for measuring the similarity of economic time periods using news data, in addition to traditional variables. We find that the state-based weighting of observations leads to economically significant nowcasting gains for predicting GDP growth in Belgium as compared to traditional unweighted approaches.
Subjects: 
GDP growth
Media news
Nowcasting
Sentometrics
State variables
JEL: 
C32
C51
C53
C55
Document Type: 
Working Paper

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