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- W3124865991 abstract "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 algorithm combined with a principal components estimator. We discuss the in-sample properties of the estimator in real-time environments and methods for out-of-sample forecasting. As an empirical application, we estimate monthly German GDP in real-time, discuss the nowcast and forecast accuracy of the model and the role of revisions. Furthermore, we assess the contribution of timely monthly data to the forecast performance." @default.
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- W3124865991 date "2006-01-01" @default.
- W3124865991 modified "2023-09-26" @default.
- W3124865991 title "Real-Time Forecasting of GDP Based on a Large Factor Model with Monthly and Quarterly Data" @default.
- W3124865991 doi "https://doi.org/10.2139/ssrn.2785260" @default.
- W3124865991 hasPublicationYear "2006" @default.
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