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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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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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Forecasting German key macroeconomic variables using large dataset methods
Pirschel, Inske; Wolters, Maik H. - 2014
We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that … 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
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Estimating large-scale factor models for economic activity in Germany : do they outperform simpler models?
Dreger, Christian (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10001712654
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Real-Time Forecasting of GDP Based on a Large Factor Model with Monthly and Quarterly Data
Schumacher, Christian - 2007
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/10012730747
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Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle
Carstensen, Kai - 2017
for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent …
Persistent link: https://www.econbiz.de/10012955198