Nowcasting an Economic Aggregate with Disaggregate Dynamic Factors: An Application to Portuguese GDP
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.
|Date of creation:||Feb 2007|
|Date of revision:||Feb 2007|
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