Franta, Michal; Havrlant, David; Rusnak, Marek - Česká Národní Banka - 2014
In this paper we use a battery of various mixed-frequency data models to forecast Czech GDP. The models employed are … mixed-frequency vector autoregressions, mixed-data sampling models, and the dynamic factor model. Using a dataset of … forecasting horizons the accuracy of the dynamic factor model is comparable to the CNB forecasts. At longer horizons, mixed-frequency …