António José Morgado () (GEE, Ministério da Economia e da Inovação; Faculdade de Economia, Universidade Nova de Lisboa) Luis Catela Nunes () (Faculdade de Economia, Universidade Nova de Lisboa) Susana Salvado () (GEE, Ministério da Economia e da Inovação; Faculdade de Economia, Universidade Nova de Lisboa)
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This 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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Paper provided by Gabinete de Estratégia e Estudos, Ministério da Economia e da Inovação in its series GEE Papers with number
0002.
Find related papers by JEL classification: C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
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