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.

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Year of publication:	2007-02
Authors:	Morgado, António José ; Nunes, Luis Catela ; Salvado, Susana
Institutions:	Gabinete de Estratégia e Estudos (GEE), Ministério da Economia
Subject:	Forecasting \| Dynamic Factor Model \| Temporal Disaggregation

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Extent:	application/pdf
Series:	GEE Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0002 20 pages
Classification:	C53 - Forecasting and Other Model Applications ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005124845