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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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