Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192486 
Year of Publication: 
2007
Series/Report no.: 
Discussion Papers No. 504
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables for 1978Q2-2005Q4. The model is used to obtain forecasts for 22 key variables that can be derived from the original variables by aggregation. To investigate the potential gain in using such a large information set, we compare the forecasting properties of the dynamic factor model with those of univariate benchmark models. We find that there is an overall gain in using the dynamic factor model, but that the gain is notable only for a few of the key variables.
Subjects: 
Dynamic factor model
Forecasting
State space
AR models
JEL: 
C13
C22
C32
C53
Document Type: 
Working Paper

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