Rebuilding the Atlanta Fed’s GDPNow

I’ve been working on a recreation of the Atlanta Fed’s GDPNow model.

The GDPNow Replica is a real-time estimate of current-quarter GDP built from public data and historical vintages.

It pulls from FRED/ALFRED, BEA, Census, BLS, ISM, Treasury, and other public sources, while preserving what was actually available on each forecast date.

Under the hood, the replica recreates the BVARs, common economic factor, bridge equations, component forecasts, inventories, prices, and final GDP aggregation.

The replica reproduces GDPNow’s headline estimates with just 0.16 pp mean absolute error.

The key advantage of our replica: Atlanta doesn’t publicly update GDPNow after every economic release - by pulling data directly and re-estimating, we end up with a daily nowcast!

So a new trade, PCE, inventory, or other relevant release can flow into the nowcast immediately, rather than waiting for Atlanta’s next scheduled update.

The second advantage - we can also release updates quicker - on Sept 30, after the BEA release, we were able to update the nowcast to 3.51 before their public release!

Still a work in progress, but it’s getting pretty close.