Improving the accuracy of cash flow forecasting in the TSA is key to fulfilling government payment obligations, minimizing the cost of maintaining the cash reserve, providing the absence of outstanding debt accumulation and ensuring investment in financial instruments to obtain additional...

We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...