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This study introduces a monthly coincident indicator for consumption in Germany based on Google Trends data on web search activity. In real-time nowcasting experiments the indicator outperforms common survey-based indicators in predicting consumption. Unlike those indicators, it provides...
Persistent link: https://www.econbiz.de/10011479058
This study introduces a monthly coincident indicator for consumption in Germany based on Google Trends data on web search activity. In real-time nowcasting experiments the indicator outperforms common survey-based indicators in predicting consumption. Unlike those indicators, it provides...
Persistent link: https://www.econbiz.de/10011488565
Persistent link: https://www.econbiz.de/10013206234
Persistent link: https://www.econbiz.de/10012299187
Persistent link: https://www.econbiz.de/10013443962
Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...
Persistent link: https://www.econbiz.de/10010295783
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/10010295822
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10010325750
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is based on the generalized dynamic factor model proposed in Forni, Hallin, Lippi, and Reichlin (2000), and takes advantage of the information on the dynamic covariance structure...
Persistent link: https://www.econbiz.de/10010328558
This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...
Persistent link: https://www.econbiz.de/10011559218