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The generalized dynamic factor model: One-sided estimation and forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - 2003

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10010328558

Exploiting the monthly data flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015

predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of the DSGE and the …

Persistent link: https://www.econbiz.de/10011460630

Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases

Giannone, Domenico; Reichlin, Lucrezia; Small, David H. - 2006

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving...

Persistent link: https://www.econbiz.de/10011604679

Large Bayesian VARs

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - European Central Bank - 2008

to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …

Persistent link: https://www.econbiz.de/10005530858

Monetary Policy in Real Time

Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - C.E.P.R. Discussion Papers - 2005

, produces a degree of forecasting accuracy of the federal funds rate similar to that of the markets, and, for output and … shock and inflation by the nominal shock. The implication is that, by tracking any forecastable measure of real activity and …

Persistent link: https://www.econbiz.de/10005497952

Exploiting the monthly data-flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - London School of Economics (LSE) - 2014

This paper shows how and when it is possible to obtain a mapping from a quarterly DSGE model to amonthly specification thatmaintains the same economic restrictions and has real coefficients. We use this technique to derive the monthly counterpart of the Gali et al (2011) model. We then augment...

Persistent link: https://www.econbiz.de/10011126615

Exploiting the monthly data-flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - Centre for Macroeconomics (CFM) - 2014

This paper shows how and when it is possible to obtain a mapping from a quarterly DSGE model to a monthly specification that maintains the same economic restrictions and has real coefficients. We use this technique to derive the monthly counterpart of the Gali et al (2011) model. We then augment...

Persistent link: https://www.econbiz.de/10011185832

NOWCASTING EURO AREA ECONOMIC ACTIVITY IN REAL TIME: THE ROLE OF CONFIDENCE INDICATORS

Giannone, Domenico; Reichlin, Lucrezia; Simonelli, Saverio - In: National Institute Economic Review 210 (2009) 1, pp. 90-97

This paper assesses the role of qualitative surveys for the early estimation of GDP in the Euro Area in a model-based automated procedure which exploits the timeliness of their release. The analysis is conducted using both an historical evaluation and a real-time case study on the current...

Persistent link: https://www.econbiz.de/10010786219

The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - Laboratory of Economics and Management (LEM), Scuola … - 2003

This paper proposes a new forecasting method that exploits information from a largepanel of time series. The method is …

Persistent link: https://www.econbiz.de/10005650062

The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10005661541