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Fig. 5 | Swiss Journal of Economics and Statistics

Fig. 5

From: The D-model for GDP nowcasting

Fig. 5

Dispersion measure, \(DM,\) along with the RMSE loss function for \({Y}_{q+1\backslash q}^{\left(0\right)}\) and \({Y}_{q+1\backslash q}^{*\left(0\right)}\). The RMSE for the one-step-ahead forecasts of \({Y}_{q}^{\left(0\right)}\) from an estimated AR(1) model: \({Y}_{q+1\backslash q}^{*\left(0\right)}\) is \(RMSE=\sqrt{{10.000}^{-1}\sum_{q=1}^{10.000}{\left({Y}_{q+1}^{\left(0\right)}-{Y}_{q+1\backslash q}^{*\left(0\right)}\right)}^{2}}\). The RMSE for the one-step-ahead forecasts of \({Y}_{q}^{\left(0\right)}\) from the aggregation of the forecasts: \({Y}_{q+1\backslash q}^{\left(0\right)}\) is \(RMSE=\sqrt{{10.000}^{-1}\sum_{q=1}^{10.000}{\left({Y}_{q+1}^{\left(0\right)}-{\sum }_{k=1}^{4}{Y}_{q+1\backslash q}^{\left(k\right)}\right)}^{2}}\). The \(DM={\sum }_{k=1}^{4}{\left({\beta }_{1}^{\left(k\right)}-\overline{{\beta }_{1}}\right)}^{2}\), for \(\overline{{\beta }_{1}}={\sum }_{k=1}^{4}{\beta }_{1}^{\left(k\right)}/4\). The DM is presented on the right-hand-side axis

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