This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a...

We produce predictions of the current state of the Indonesian economy by estimating a Dynamic Factor Model on a dataset of 11 indicators (also followed closely by market operators) over the time period 2002 to 2014. Besides the standard difficulties associated with constructing timely indicators...

We produce predictions of the current state of the Indonesian economy by estimating a Dynamic Factor Model on a dataset of 11 indicators (also followed closely by market operators) over the time period 2002 to 2014. Besides the standard difficulties associated with constructing timely indicators...

In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a large data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden- Württemberg) and Eastern Germany. We overcome the problem of a...

In this paper, we ask whether it is possible to forecast gross value-added (GVA) and its sectoral subcomponents at the regional level. With an autoregressive distributed lag model we forecast total and sectoral GVA for one German state (Saxony) with more than 300 indicators from different...

Accurate real-time macroeconomic data are essential for policy-making and economic nowcasting. In this paper, I introduce a real-time database for German regional economic accounts (READ-GER). The database contains real-time information for nine macroeconomic aggregates and the 16 German states....