Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence

Francisco Dias, Maximiano Pinheiro and António Rua

Economic Modelling, 2015, vol. 44, issue C, 266-272

Abstract: In this article, we assess the relative performance of factor models to forecast GDP growth in Portugal. A large dataset is compiled for the Portuguese economy and its usefulness for nowcasting and short-term forecasting is investigated. Since, in practice, one has to cope with different publication lags and unbalanced data, we also address the pseudo real-time performance of such models. Furthermore, by considering a relatively long out-of-sample period, we are able to evaluate the behavior of the different models over the pre-crisis period and during the latest economic and financial crisis. As Portugal was one of the hardest hit economies, it is a particularly insightful case to assess the relative performance of factor models during a period of economic stress.

Keywords: Factor models; Diffusion index; Targeted diffusion index; Forecasting; Crisis (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:44:y:2015:i:c:p:266-272

DOI: 10.1016/j.econmod.2014.10.034

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