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Approximating and Forecasting Macroeconomic Signals in Real-Time

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  • João Valle e Azevedo
  • Ana Pereira

Abstract

We optimally incorporate factors estimated from a large panel of macroeconomic time series in the estimation of two relevant signals related to real activity: business cycle fluctuations and the medium to long-run component of output growth. This latter signal conveys information on the growth of real activity but contains no high-frequency oscillations. For forecasting purposes we show that targeting this object can prove more useful than targeting the original (noisy) time series. We illustrate the methodology and provide forecasting comparisons for the Euro Area and the U.S.

Suggested Citation

  • João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers w200819, Banco de Portugal, Economics and Research Department.
  • Handle: RePEc:ptu:wpaper:w200819
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    References listed on IDEAS

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    Cited by:

    1. Valle e Azevedo, João & Pereira, Ana, 2013. "Approximating and forecasting macroeconomic signals in real-time," International Journal of Forecasting, Elsevier, vol. 29(3), pages 479-492.
    2. João Valle e Azevedo & Ana Pereira, 2010. "Forecasting Inflation (and the Business Cycle?) with Monetary Aggregates," Working Papers w201024, Banco de Portugal, Economics and Research Department.
    3. João Veríssimo LISBOA & Mário Gomes AUGUSTO & Juan PIÑEIRO-CHOUSA, 2015. "A Combined Approach To Access Short Term Changes In Economic Activity Of Portugal And Spain," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 24(2), pages 99-110.

    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • 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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