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
2008-01-01
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 accountI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
