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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Schumacher, Christian | en |
dc.contributor.author | Breitung, Jörg | en |
dc.date.accessioned | 2009-01-28T16:01:49Z | - |
dc.date.available | 2009-01-28T16:01:49Z | - |
dc.date.issued | 2006 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 1 |x2006,33 | en |
dc.subject.jel | E37 | en |
dc.subject.jel | C53 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | monthly GDP | en |
dc.subject.keyword | EM algorithm | en |
dc.subject.keyword | principal components | en |
dc.subject.keyword | factor models | en |
dc.subject.stw | Konjunkturprognose | en |
dc.subject.stw | Prognoseverfahren | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Faktorenanalyse | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Theorie | en |
dc.subject.stw | Deutschland | en |
dc.title | Real-time forecasting of GDP based on a large factor model with monthly and quarterly data | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 519430387 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp1:5097 | en |
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