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Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?

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Author Info
Cecilia Frale
Abstract

This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic variables at higher frequency. We propose a multivariate approach which is an extension of the Stock and Watson (1991) dynamic factor model, considering more than one common factor and low-frequency cycles. The multivariate model is cast in State Space Form and the temporal aggregation constraint is converted into a problem of missing values. An application in real time for the value added of the Industry sector in the Euro area is presented.

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File URL: http://www.dt.tesoro.it/modules/documenti_it/analisi_progammazione/working_papers/n.-2-2008---Surveys--role-in-macroeconomic-variables-disaggregation-and-estimation.pdf
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Paper provided by Department of the Treasury, Ministry of the Economy and of Finance in its series Working Papers with number wp2008-2.

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Handle: RePEc:itt:wpaper:wp2008-2

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Web page: http://www.dt.tesoro.it
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Related research
Keywords: Temporal Disaggregation. Multivariate State Space Models. Dynamic factor;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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