In economics, Principal Components, its generalized version that takes into account heteroscedasticity, and Kalman lter and smoothing procedures are among the most popular procedures for factor extraction in the context of Dynamic Factor Models. This paper analyses the consequences on point and...

We have assessed the effect of data releases when constructing short-term point and density forecasts of the Spanish gross domestic product growth. For this purpose, we considered a real-forecasting exercise in which we defined several pseudo-data vintages that had a mixture of monthly and...