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The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the...
Persistent link: https://www.econbiz.de/10015315984
This paper introduces a statistical model for short-term GDP forecasting based on approximate dynamic factors (Stock and Watson methodology), extracted from a very large number of leading indicators sorted according to their correlations at various lags to euro-area GDP (Sorted Leading...
Persistent link: https://www.econbiz.de/10015318040
Persistent link: https://www.econbiz.de/10013446554