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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19662Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Schumacher, Christian | - |
| dc.creator | Breitung, Jörg | - |
| dc.date | 2006 | - |
| dc.date.accessioned | 2013-10-16T07:06:11Z | - |
| dc.date.available | 2013-10-16T07:06:11Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19662 | - |
| dc.identifier | ppn:519430387 | - |
| dc.identifier | RePEc:zbw:bubdp1:5097 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19662 | - |
| dc.description | 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. | - |
| dc.language | eng | - |
| dc.relation | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,33 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | E37 | - |
| dc.subject | C53 | - |
| dc.subject | ddc:330 | - |
| dc.subject | monthly GDP | - |
| dc.subject | EM algorithm | - |
| dc.subject | principal components | - |
| dc.subject | factor models | - |
| dc.subject | Konjunkturprognose | - |
| dc.subject | Prognoseverfahren | - |
| dc.subject | Zeitreihenanalyse | - |
| dc.subject | Faktorenanalyse | - |
| dc.subject | Schätzung | - |
| dc.subject | Theorie | - |
| dc.subject | Deutschland | - |
| dc.title | Real-time forecasting of GDP based on a large factor model with monthly and quarterly data | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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