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Estimation of Common Factors Under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and Its Main Components

In: Compstat 2008

Author

Listed:
  • Tommaso Proietti

    (Università di Roma “Tor Vergata”, SEFEMEQ)

Abstract

The paper estimates a large-scale mixed-frequency dynamic factor model for the euro area, using monthly series along with Gross Domestic Product (GDP) and its main components, obtained from the quarterly national accounts. Our model is a traditional dynamic factor model formulated at the monthly frequency in terms of the stationary representation of the variables, which however becomes nonlinear when the observational constraints are taken into account.

Suggested Citation

  • Tommaso Proietti, 2008. "Estimation of Common Factors Under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and Its Main Components," Springer Books, in: Paula Brito (ed.), Compstat 2008, pages 547-558, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2084-3_44
    DOI: 10.1007/978-3-7908-2084-3_44
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    Cited by:

    1. is not listed on IDEAS
    2. Elena Angelini & Marta Banbura & Gerhard Rünstler, 2010. "Estimating and forecasting the euro area monthly national accounts from a dynamic factor model," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(1), pages 1-22.
    3. Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
    4. Moauro, Filippo, 2010. "A monthly indicator of employment in the euro area: real time analysis of indirect estimates," MPRA Paper 27797, University Library of Munich, Germany, revised 30 Dec 2010.
    5. Schumacher Christian, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 28-49, February.
    6. Marta Bañbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Nowcasting," Working Papers ECARES ECARES 2010-021, ULB -- Universite Libre de Bruxelles.
    7. Cuevas Rumín, Ángel & Quilis, Enrique M. & Espasa, Antoni, 2011. "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS ws114130, Universidad Carlos III de Madrid. Departamento de Estadística.

    More about this item

    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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