Aastveit, Knut Are; Trovik, Tørres - In: The Quarterly Review of Economics and Finance 54 (2014) 2, pp. 180-193
By using a dynamic factor model, we can substantially improve the reliability of real-time output gap estimates for the U.S. economy. First, we use a factor model to extract a series for the common component in GDP from a large panel of monthly real-time macroeconomic variables. This series is...