The D-model for GDP nowcasting

Abstract The paper provides a disaggregated mixed frequency framework for the estimation of GDP. The GDP is disaggregated into components that can be forecasted based on information available at higher sampling frequency; i.e. monthly, weekly or daily. The model framework is applied for Greek GPD nowcasting. The results provide evidence that the more accurate nowcasting estimations require i ) the disaggregation of GDP, ii ) the use of a multilayer mixed frequency framework, iii ) the inclusion of financial information on a daily frequency. The simulation study provides evidence in favor of the disaggregation into components despite the inclusion of multiple sources of forecast errors.