Approximating and Forecasting Macroeconomic Signals in Real-Time
AbstractWe optimally incorporate factors estimated from a large panel of macroeconomic time series in the estimation of two relevant signals related to real activity: business cycle fluctuations and the medium to long-run component of output growth. This latter signal conveys information on the growth of real activity but contains no high-frequency oscillations. For forecasting purposes we show that targeting this object can prove more useful than targeting the original (noisy) time series. We illustrate the methodology and provide forecasting comparisons for the Euro Area and the U.S.
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Bibliographic InfoPaper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w200819.
Date of creation: 2008
Date of revision:
Other versions of this item:
- Valle e Azevedo, João & Pereira, Ana, 2013. "Approximating and forecasting macroeconomic signals in real-time," International Journal of Forecasting, Elsevier, vol. 29(3), pages 479-492.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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