We produce predictions of Norwegian GDP. To this end, we estimate a Bayesian Dynamic Factor model on a panel of 14 variables (all followed closely by market operators) ranging from 1990 to 2011. By means of a pseudo real-time exercise we show that the Bayesian Dynamic Factor Model performs well...

We produce predictions of Norwegian GDP. To this end, we estimate a Bayesian dynamic factor model on a panel of fourteen variables (all followed closely by market operators) ranging from 1990 to 2011. By means of a pseudo real-time exercise, we show that the Bayesian dynamic factor model...