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


  • 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)


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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    References listed on IDEAS

    1. Martins, Rodrigo & Veiga, Francisco José, 2014. "Does voter turnout affect the votes for the incumbent government?," European Journal of Political Economy, Elsevier, vol. 36(C), pages 274-286.
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    5. Daniel Albalate, 2011. "Shifting Death to Their Alternatives The Case of Toll Motorways," Journal of Transport Economics and Policy, University of Bath, vol. 45(3), pages 457-479, September.
    6. Janet Currie & Reed Walker, 2011. "Traffic Congestion and Infant Health: Evidence from E-ZPass," American Economic Journal: Applied Economics, American Economic Association, vol. 3(1), pages 65-90, January.
    7. Daniel Albalate & Germà Bel, 2012. "Motorways, tolls and road safety: evidence from Europe," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 457-473, December.
    8. Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004. "How Much Should We Trust Differences-In-Differences Estimates?," The Quarterly Journal of Economics, Oxford University Press, vol. 119(1), pages 249-275.
    9. Robin Haynes & Andrew Jones & Victoria Kennedy & Ian Harvey & Tony Jewell, 2007. "District variations in road curvature in England and Wales and their association with road-traffic crashes," Environment and Planning A, Pion Ltd, London, vol. 39(5), pages 1222-1237, May.
    10. Ruhm, Christopher J., 2015. "Recessions, healthy no more?," Journal of Health Economics, Elsevier, vol. 42(C), pages 17-28.
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    More about this item


    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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