Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77743
Authors: 
Cuevas, Ángel
Quilis, Enrique M.
Year of Publication: 
2012
Citation: 
[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Publisher:] Springer [Place:] Heidelberg [Volume:] 3 [Year:] 2012 [Issue:] 3 [Pages:] 311-338
Abstract: 
We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of small-scale models. The estimated common factor is used to forecast the gross domestic product by means of a transfer function model. Likewise, the model solves the operational and informational limits posed by the presence of an unbalanced panel of indicators and generates multivariate forecasts of the basic indicators.
Subjects: 
dynamic factor model
short-term economic analysis
Spanish economy
Kalman filter
transfer function
temporal disaggregation
forecasting
nowcasting
JEL: 
C22
C53
C82
E27
E32
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/2.0/
Document Type: 
Article

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