The paper estimates a large-scale mixed-frequency dynamic factor model for the euro area, using monthly series along with Gross Domestic Product (GDP) and its main components, obtained from the quarterly national accounts. Our model is a traditional dynamic factor model formulated at the monthly frequency in terms of the stationary representation of the variables, which however becomes nonlinear when the observational constraints are taken into account

Proietti, T. (2008). Estimation of common factors under cross-sectional and temporal aggregation constraints: nowcasting monthly GDP and its main components. In COMPSTAT 2008: proceedings in computational statistics: 18th Symposium held in Porto, Portugal, 2008 / Paula Brito (Ed.) (pp.547-558). Heidelberg : Physica-Verlag [10.1007/978-3-7908-2084-3_44].

Estimation of common factors under cross-sectional and temporal aggregation constraints: nowcasting monthly GDP and its main components

PROIETTI, TOMMASO
2008

Abstract

The paper estimates a large-scale mixed-frequency dynamic factor model for the euro area, using monthly series along with Gross Domestic Product (GDP) and its main components, obtained from the quarterly national accounts. Our model is a traditional dynamic factor model formulated at the monthly frequency in terms of the stationary representation of the variables, which however becomes nonlinear when the observational constraints are taken into account
Symposium on computational statistics (COMSTAT 2008)
Oporto (Portugal)
2008
18.
Rilevanza internazionale
su invito
Settore SECS-S/03 - Statistica Economica
English
non linear state space models; temporal disaggregation; nonlinear smoothing; monthly GDP; chain-linking
Intervento a convegno
Proietti, T. (2008). Estimation of common factors under cross-sectional and temporal aggregation constraints: nowcasting monthly GDP and its main components. In COMPSTAT 2008: proceedings in computational statistics: 18th Symposium held in Porto, Portugal, 2008 / Paula Brito (Ed.) (pp.547-558). Heidelberg : Physica-Verlag [10.1007/978-3-7908-2084-3_44].
Proietti, T
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2108/41313
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