Referring to the paper of Del Negro and Eusepi (Fitting Observed inflation expectations) but in a different context, I am facing an issue similar to the one reported here http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=3830 in the context of a pseudo-real time forecasting exercise, but with different timing in the observed variables.
Del Negro and Eusebi introduce expectations of a variable at t+1 made at time t. I want use ‘’nowcasts’’ (expectations made during t for t) rather than ‘’expectations’’ (expectations for t+1 made at t) as an observable. This is because ‘’nowcasts’’ are available before the true data is released (since usually the data release occurs with a time lag), and I hope they improve the forecasting of the model.
How can I plug this information content into the model?
Thank you in advance