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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19662
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schumacher, Christian | | en_US |
| dc.contributor.author | | Breitung, Jörg | | en_US |
| dc.date.accessioned | | 2009-01-28T16:01:49Z | | - |
| dc.date.available | | 2009-01-28T16:01:49Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/19662 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,33 | | en_US |
| dc.subject.jel | | E37 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | monthly GDP | | en_US |
| dc.subject.keyword | | EM algorithm | | en_US |
| dc.subject.keyword | | principal components | | en_US |
| dc.subject.keyword | | factor models | | en_US |
| dc.subject.stw | | Konjunkturprognose | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Faktorenanalyse | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.title | | Real-time forecasting of GDP based on a large factor model with monthly and quarterly data | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 519430387 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:bubdp1:5097 | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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