Angelini, Elena; Camba-Méndez, Gonzalo; Giannone, Domenico - 2008
bridge equation j,asx
j
t
=(x
j
1,t
,...,x
j
k,t
)
prime
,t=1,···,T. Thebridgeequationisestimatedfrom
quarterly aggregates of … forecast over the remainder of the quarter to obtain forecasts of their quarterly
aggregates, x
jQ
it
. The forecasts of the … regressors in the bridge equation to obtain the GDP forecast.
We have:
y
Q
t
= µ +
k
summationdisplay
i=1
β
j
i
(L)x
jQ
it
+ ε
jQ …