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Nowcasting an Economic Aggregate with Disaggregate Dynamic Factors: An Application to Portuguese GDP

Author

Listed:
  • António José Morgado

    () (GEE, Ministério da Economia e da Inovação; Faculdade de Economia, Universidade Nova de Lisboa)

  • Luis Catela Nunes

    () (Faculdade de Economia, Universidade Nova de Lisboa)

  • Susana Salvado

    () (GEE, Ministério da Economia e da Inovação; Faculdade de Economia, Universidade Nova de Lisboa)

Abstract

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.

Suggested Citation

  • António José Morgado & Luis Catela Nunes & Susana Salvado, 2007. "Nowcasting an Economic Aggregate with Disaggregate Dynamic Factors: An Application to Portuguese GDP," GEE Papers 0002, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Feb 2007.
  • Handle: RePEc:mde:wpaper:0002
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    File URL: http://www.gee.gov.pt/RePEc/WorkingPapers/mns.pdf
    File Function: First version, 2007
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    More about this item

    Keywords

    Forecasting; Dynamic Factor Model; Temporal Disaggregation;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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