Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/19662 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Discussion Paper Series 1 No. 2006,33
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
monthly GDP
EM algorithm
principal components
factor models
JEL: 
E37
C53
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
458.14 kB





Publikationen in EconStor sind urheberrechtlich geschützt.