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Short-term forecasting for empirical economists. A survey of the recently proposed algorithms

Camacho, Maximo; Perez-Quiros, Gabriel; Poncela, Pilar - Banco de España - 2013

-world practice. This survey seeks to close the gap between research and practice in respect of short-term forecasting in real time …

Persistent link: https://www.econbiz.de/10010862275

An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series

Kaiser, Regina; Maravall, Agustín - Banco de España - 2000

The paper details an application of programs TRAMO and SEATS to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with X12-ARIMA, the Bundesbank had identified two problems. One had to do with...

Persistent link: https://www.econbiz.de/10005155255

Markov-switching dynamic factor models in real time

Camacho, Maximo; Perez-Quiros, Gabriel; Poncela, Pilar - Banco de España - 2012

We extend the Markov-switching dynamic factor model to account for some of the specificities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefits of this extension and corroborate the...

Persistent link: https://www.econbiz.de/10010678687

Can we use seasonally adjusted indicators in dynamic factor models?

Camacho, Maximo; Lovcha, Yuliya; Perez-Quiros, Gabriel - Banco de España - 2012

We examine the short-term performance of two alternative approaches to forecasting using dynamic factor models. The … of forecasting ability. Drawing on fi ve coincident indicators, we illustrate this result for US data …

Persistent link: https://www.econbiz.de/10010678690

Monitoring the world business cycle

Camacho, Maximo; Martinez-Martin, Jaime - Banco de España - 2015

. To overcome the real-time forecasting challenges, the model takes into account mixed frequencies, asynchronous data …

Persistent link: https://www.econbiz.de/10011212880

Finite sample performance of small versus large scale dynamic factor models

Alvarez, Rocio; Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2012

reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of … representative indicator of each category yields satisfactory or even better forecasting results than a large scale dynamic factor …

Persistent link: https://www.econbiz.de/10010862254

Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth

Burriel, Pablo; García-Belmonte, María Isabel - Banco de España - 2013

In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge …€STINY´s forecasting performance is clearly better than the standard alternative models and than the publicly available forecasts of other …

Persistent link: https://www.econbiz.de/10010862260

Extracting non-linear signals from several economic indicators

Camacho, Maximo; Perez-Quiros, Gabriel; Poncela, Pilar - Banco de España - 2012

We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non-linear multivariate specification (one-step approach)...

Persistent link: https://www.econbiz.de/10010862279

Real-time forecasting us GDP from small-scale factor models

Camacho, Máximo; Martínez-Martín, Jaime - Banco de España - 2014

construct an index of US business cycle conditions is also very useful for forecasting US GDP growth in real time. In addition … preferred alternative for computing backcasts. In nowcasting and forecasting, our model is able to forecast growth as well as AD …

Persistent link: https://www.econbiz.de/10010936748

Ñ-STING: España Short Term INdicator of Growth

Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2009

examine its real time forecasting accuracy, we use real-time data vintages from 2008.02 through 2009.01. We conclude that the … model exhibits good forecasting performance in anticipating the recent and sudden downturn. …

Persistent link: https://www.econbiz.de/10004969768