@techreport{Schumacher2006Real,
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.},
author = {Christian Schumacher and J\"{o}rg Breitung},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E37; C53; 330; monthly GDP; EM algorithm; principal components; factor models; Konjunkturprognose; Prognoseverfahren; Zeitreihenanalyse; Faktorenanalyse; Sch\"{a}tzung; Theorie; Deutschland},
language = {eng},
number = {2006,33},
title = {Real-time forecasting of GDP based on a large factor model with monthly and quarterly data},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19662},
year = {2006}
}
