Nowcasting an Economic Aggregate with Disaggregate Dynamic Factors: An Application to Portuguese GDP
AbstractThis paper consists of an empirical study comparing a dynamic factor model approach to estimate the current quarter aggregate GDP with the alternative approach of aggregating the forecasts obtained from specific dynamic factor models for each major expenditure disaggregate. The out-of-sample forecasting performance results suggest that there is no advantage in aggregating the disaggregate forecasts.
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Bibliographic InfoPaper provided by Gabinete de Estratégia e Estudos, Ministério da Economia e da Inovação in its series GEE Papers with number 0002.
Length: 20 pages
Date of creation: Feb 2007
Date of revision: Feb 2007
Forecasting; Dynamic Factor Model; Temporal Disaggregation;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
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