EconPapers    
Economics at your fingertips  
 

Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach

Ginters Buss ()

No 2012/06, Working Papers from Latvijas Banka

Abstract: The paper studies regularised direct filter approach as a tool for high-dimensional filtering and real-time signal extraction. It is shown that the regularised filter is able to process high-dimensional data sets by controlling for effective degrees of freedom and that it is computationally fast. The paper illustrates the features of the filter by tracking the medium-to-long-run component in GDP growth for the euro area, including replication of Eurocoin-type behavior as well as producing more timely indicators. A further robustness check is performed on a less homogeneous dataset for Latvia. The resulting real-time indicators are found to track economic activity in a timely and robust manner. The regularised direct filter approach can thus be considered a promising tool for both concurrent estimation and forecasting using high-dimensional datasets and a decent alternative to the dynamic factor methodology.

Keywords: high-dimensional filtering; real-time estimation; coincident indicator; leading indicator; parameter shrinkage; business cycles; dynamic factor model (search for similar items in EconPapers)
JEL-codes: C13 C32 E32 E37 (search for similar items in EconPapers)
Date: 2012-12-27
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.bank.lv/images/stories/pielikumi/publi ... 012_buss-final-1.pdf (application/pdf)
https://www.macroeconomics.lv/sites/default/files/wp_6_2012.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ltv:wpaper:201206

Access Statistics for this paper

More papers in Working Papers from Latvijas Banka Contact information at EDIRC.
Bibliographic data for series maintained by Konstantins Benkovskis ().

 
Page updated 2020-07-14
Handle: RePEc:ltv:wpaper:201206