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.
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