Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors

In this paper, we assess the predictive content of latent economic policy uncertainty and data surprise factors for forecasting and nowcasting gross domestic product (GDP) using factor-type econometric models. Our analysis focuses on five emerging market economies: Brazil, Indonesia, Mexico, South Africa, and Turkey; and we carry out a forecasting horse race in which predictions from various different models are compared. These models may (or may not) contain latent uncertainty and surprise factors constructed using both local and global economic datasets. The set of models that we examine in our experiments includes both simple benchmark linear econometric models as well as dynamic factor models that are estimated using a variety of frequentist and Bayesian data shrinkage methods based on the least absolute shrinkage operator (LASSO). We find that the inclusion of our new uncertainty and surprise factors leads to superior predictions of GDP growth, particularly when these latent factors are constructed using Bayesian variants of the LASSO. Overall, our findings point to the importance of spillover effects from global uncertainty and data surprises, when predicting GDP growth in emerging market economies.     

A High Performance Multifrontal Code for Linear Solution of Structures Using Multi-Core Microprocessors

A multifrontal code is introduced for the efficient solution of the linear system of equations arising from the analysis of structures. The factorization phase is reduced into a series of interleaved element assembly and dense matrix operations for which the BLAS3 kernels are used. A similar approach is generalized for the forward and back substitution phases for the efficient solution of structures having multiple load conditions. The program performs all assembly and solution steps in parallel. Examples are presented which demonstrate the code’s performance on single and dual core processor computers.