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This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter … Swiss GDP. We find that the factor model offers a substantial improvement in forecast accuracy of GDP growth rates compared … accuracy is achieved when GDP nowcasts for an actual quarter are made about three months ahead of the official data release. We …
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This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter … Swiss GDP. We find that the factor model offers a substantial improvement in forecast accuracy of GDP growth rates compared … accuracy is achieved when GDP nowcasts for an actual quarter are made about three months ahead of the official data release. We …
Persistent link: https://www.econbiz.de/10010277729
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...
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quarterly real GDP (RGDP) using several mixed-frequency models. These include a mixed dynamic factor model, unrestricted mixed … of GDP (manufacturing, non-manufacturing, and services) using a set of available monthly indicators by sector …. Furthermore, mixed-frequency dynamic factor models and unrestricted MIDAS perform well in terms of root mean squared errors …
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is identified as the weekly growth rate of GDP. It turns out that the model is well suited to exploit the business cycle … information contained in alternative highfrequency data. GDP is tracked timely and accurately during the Corona crisis and past …
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