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Factor structural time series models for official statistics with an application to hours worked in Germany
Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015
factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …
Persistent link: https://www.econbiz.de/10011309972
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Factor-MIDAS for now- and forecasting with ragged-edge data : a model comparison for German GDP
Marcellino, Massimiliano (contributor);  … - 2007
combinations of factor estimation methods and Factor-MIDAS projections with respect to nowcast performance. Additionally, we …. Our empirical findings show that the factor estimation methods don't differ much with respect to nowcasting accuracy …
Persistent link: https://www.econbiz.de/10003634929
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Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data
Schumacher, Christian; Breitung, Jörg - In: International journal of forecasting 24 (2008) 3, pp. 386-398
Persistent link: https://www.econbiz.de/10003764088
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Forecasting with factor models estimated on large datasets : a review of the recent literature and evidence for German GDP
Schumacher, Christian - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 28-49
Persistent link: https://www.econbiz.de/10008902893
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Real-time forecasting of GDP based on a large factor model with monthly and quarterly data
Schumacher, Christian (contributor);  … - 2006
This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...
Persistent link: https://www.econbiz.de/10003383602
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Forecasting German GDP using alternative factor models based on large datasets
Schumacher, Christian - In: Journal of forecasting 26 (2007) 4, pp. 271-302
Persistent link: https://www.econbiz.de/10003506439
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On the design of data sets for forecasting with dynamic factor models
Rünstler, Gerhard - 2010
Persistent link: https://www.econbiz.de/10008659782
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Forecasting German key macroeconomic variables using large dataset methods
Pirschel, Inske; Wolters, Maik H. - 2014
vector autoregression and model averaging techniques, where aggregation takes place before, during and after the estimation …
Persistent link: https://www.econbiz.de/10010357899
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Estimating large-scale factor models for economic activity in Germany : do they outperform simpleer models? : übertreffen sie einfachere Modelle?
Schumacher, Christian; Dreger, Christian - In: Jahrbücher für Nationalökonomie und Statistik 224 (2004) 6, pp. 731-750
Persistent link: https://www.econbiz.de/10002419372
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Forecasting German GDP using alternative factor models based on large datasets
Schumacher, Christian (contributor) - 2005
This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...
Persistent link: https://www.econbiz.de/10003029896