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The model extends the mixed\u2010frequency panel vector autoregression (MF\u2010PVAR) to allow for heterogeneous coefficients and a multifactor error structure to model cross\u2010sectional dependence. We propose a modified common correlated effects (CCE) estimation technique which performs well in simulations. The model is applied in two distinct settings: nowcasting gross domestic product (GDP) growth for a pool of advanced and emerging economies and nowcasting inflation across many European countries. Our method is capable of beating standard benchmark models and can produce updated nowcasts whenever data releases occur in any country in the panel.<\/jats:p>","DOI":"10.1002\/jae.2980","type":"journal-article","created":{"date-parts":[[2023,5,23]],"date-time":"2023-05-23T12:04:23Z","timestamp":1684843463000},"page":"898-919","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Nowcasting from cross\u2010sectionally dependent panels"],"prefix":"10.1002","volume":"38","author":[{"given":"Jack","family":"Fosten","sequence":"first","affiliation":[{"name":"King's Business School, King's College London  London UK"},{"name":"Data Analytics in Finance and Macro (DAFM) Research Centre King's College London  London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Shaoni","family":"Nandi","sequence":"additional","affiliation":[{"name":"King's Business School, King's College London  London UK"},{"name":"Department of Statistics and Information Management Reserve Bank of India  Mumbai India"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2023,5,23]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.844155"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3670847"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1047"},{"issue":"15","key":"e_1_2_9_6_1","first-page":"195","article-title":"Now\u2010casting and the real\u2010time data flow","volume":"2","author":"Ba\u0144bura M.","year":"2013","journal-title":"ECB Working Papers"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12219"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00216-1"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.17016\/IFDP.2021.1313"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.5089\/9781513545653.001"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.10.008"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2019.03.005"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.02.003"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.03.007"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500108000000015"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1075"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2009.10.011"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/twec.12708"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssa.12043"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2021.2017670"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2018.1458623"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2019.1624915"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.954"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.04.008"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/acrefore\/9780190625979.013.176"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2008.05.010"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466618000294"},{"key":"e_1_2_9_28_1","unstructured":"Hansen P. &Timmermann A.(2012).Choice of sample split in out\u2010of\u2010sample forecast evaluation. 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