Angelini, Elena; Banbura, Marta; Rünstler, Gerhard - In: OECD Journal: Journal of Business Cycle Measurement and … 2010 (2010) 1, pp. 1-22
We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A...