Table 9. Top 10 models in terms of RMSE - baseline case. Nowcasting: 1 step and 2 steps ahead.
| 1 STEP ahead (baseline case) | 2 STEPS ahead (baseline case) | ||
| Top 10 models | RMSE | Top 10 models | RMSE |
| ARMA(10,10) dlog 1988 | 159024 | AR(3)+S.D.+UR+IC+GI(J.&F.S.) log 2004 | 211508 |
| ARMA(10,10) + UR dlog 1988 | 160819 | AR(8)+S.D.+GI(F.S.) lev 2004 | 211784 |
| ARMA(12,12) dlog 1988 | 161311 | AR(7)+ S.D.+GI(F.S.) lev 2004 | 211843 |
| ARMA(11,11) + UR diff 1988 | 162494 | AR(2)+S.D.+UR+IC+GI(J.&F.S.) log 2004 | 212644 |
| AR(12) + IC(sim+lags) dlog 1988 | 164194 | AR(7)+S.D.+GI(J.&F.S.) lev 2004 | 212878 |
| ARMA(12,12) + IC diff 1988 | 165172 | AR(4)+ S.D.+GI(F.S.) lev 2004 | 214086 |
| BVAR(1,12) FS+GI(F.S.) lev 2004 | 165369 | AR(4)+S.D.+GI(J.&F.S.) lev 2004 | 215379 |
| BVAR(1,12) FS+UR+IC+GI(F.S.) lev 2004 | 165531 | AR(8)+S.D.+GI(J.&F.S.) lev 2004 | 215468 |
| ARMA(12,12) + UR dlog 1988 | 166215 | AR(5)+ S.D.+GI(F.S.) lev 2004 | 216076 |
| ARMA(11,11) dlog 1988 | 167503 | AR(6)+S.D.+UR+IC+GI(J.&F.S.) log 2004 | 216667 |
In each row, the following information is reported: the model, the number of lags, (eventual) exogenous regressors, the data transformation, the first year of the estimation sample.