Abstract
The Transportation Services Index (TSI) lags two months from its release date due to source data availability, and it is desirable to publish a preliminary TSI that is advanced two months ahead. We model and forecast TSI with a co-integrated Vector Autoregression, also considering two explanatory series that do not have publication delay. Thus we are able to produce forecasts and nowcasts of the index, and we demonstrate that – during normal economic conditions – out-of-sample performance is within the scope expected by the forecast confidence intervals. We also examine the performance of the models at the onset of the COVID-19 pandemic, and the large forecast errors at this regime change are beyond the bounds indicated by our model. The practical ramifications of this methodology is discussed.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
