The Paper uses a large data set, consisting of 447 monthly macroeconomic time series concerning the main countries of the Euro area to simulate out-of-sample predictions of the Euro area industrial production and the harmonized inflation index and to evaluate the role of financial variables in...

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...

In this paper, the authors argue that modeling the trend component in real GNP as a random walk is inconsistent with its interpretation as productivity growth. As an alternative, they specify the trend as an ARIMA whose impulse response function follows an S-shaped pattern reflecting the process...

This paper presents ideas and methods underlying the construction of an indicator that tracks euro area GDP growth but, unlike GDP growth, (i) is updated monthly and almost in real time, and (ii) is free from short-run dynamics. Removal of short-run dynamics from a time series to isolate the...

This paper, along with the companion paper Forni, Hallin, Lippi and Reichlin (1999), introduces a new model-the generalized dynamic factor model-for the empirical analysis of financial and macroeconomic data sets characterized by a large number of observations both cross-section and over time....

In this Paper we study identification in dynamic factor models and argue that factor models are better suited than VARs to provide a structural representation of the macroeconomy. Factor models distinguish measurement errors and other idiosyncratic disturbances from structural macroeconomic...