Estimation of Common Factors Under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and Its Main Components

Tommaso Proietti

A chapter in COMPSTAT 2008, 2008, pp 547-558 from Springer

Abstract: Abstract The paper estimates a large-scale mixed-frequency dynamic factor model for the euro area, using monthly series along with Gross Domestic Product (GDP) and its main components, obtained from the quarterly national accounts. Our model is a traditional dynamic factor model formulated at the monthly frequency in terms of the stationary representation of the variables, which however becomes nonlinear when the observational constraints are taken into account.

Keywords: non linear state space models; temporal disaggregation; nonlinear smoothing; monthly GDP; chain-linking (search for similar items in EconPapers)
Date: 2008
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Working Paper: Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2084-3_44

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DOI: 10.1007/978-3-7908-2084-3_44

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