In this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small-scale factor model for mixed-frequency data, featuring two factors: the first is driven by hard data, whereas the second captures the contribution of survey variables as coincident...

HASH(0x1009bfd18)

This paper evaluates multistep estimation for the purposes of signal extraction, and in particular the separation of the trend from the cycle in economic time series, and long-range forecasting, in the presence of a misspecified, but simply parameterized model. Our workhorse models are two...