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Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence

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  • Dias, Francisco
  • Pinheiro, Maximiano
  • Rua, António

Abstract

In this article, we assess the relative performance of factor models to forecast GDP growth in Portugal. A large dataset is compiled for the Portuguese economy and its usefulness for nowcasting and short-term forecasting is investigated. Since, in practice, one has to cope with different publication lags and unbalanced data, we also address the pseudo real-time performance of such models. Furthermore, by considering a relatively long out-of-sample period, we are able to evaluate the behavior of the different models over the pre-crisis period and during the latest economic and financial crisis. As Portugal was one of the hardest hit economies, it is a particularly insightful case to assess the relative performance of factor models during a period of economic stress.

Suggested Citation

  • Dias, Francisco & Pinheiro, Maximiano & Rua, António, 2015. "Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence," Economic Modelling, Elsevier, vol. 44(C), pages 266-272.
  • Handle: RePEc:eee:ecmode:v:44:y:2015:i:c:p:266-272
    DOI: 10.1016/j.econmod.2014.10.034
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    References listed on IDEAS

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