So today is a big day. Today, I'm launching what will become a regular feature on this blog, the real-time macro forecasting model. Eventually, I'll integrate it into the righthand column, just as Nate Silver does with his "FiveThirtyEight Forecast." (I have yet to come up with a good name. I'm open to suggestions in the comments.) The aim, in fact, is to build a macroeconomic equivalent of FiveThirtyEight.
The idea is that the macro community focuses on a few "big numbers": quarterly real GDP, unemployment, nonfarm payrolls, and CPI/PCE inflation (core and headline). And we get all of these other indicators during the interim, ranging from stock indices to initial claims for unemployment.
I've built a real-time predictive model for quarterly annualized growth in real GDP which I'll update daily, very much as Silver does with his model. As a cautionary note, it is in the very early stages, and the prediction intervals for GDP are very wide -- a root-mean-square error of 2.88 projecting the model back from 1948 through 2012, although it is roughly twice as accurate post-1980 -- but I intend on making it more accurate and adding more functionality, including a forecasting side to it, over the coming weeks....
My model replicates a similar program developed by the Treasury Department, according to this academic report here, although I plan on moving well beyond what is described here over time.Evan Soltas | economics & thought
I am proud to announce I will be joining Ezra Klein's "Wonkblog" as the writer of Wonkbook, the daily morning email newsletter on public policy, at The Washington Post.An Announcement
I am proud to announce, following the notice earlier this week that I am the new writer of Ezra Klein's Wonkbook newsletter at The Washington Post, that I am joining Bloomberg View as a blogger for "The Ticker."Another Announcement