Nowcasting an Economic Aggregate with Disaggregate Dynamic Factors: An Application to Portuguese GDP

Antonio Morgado, Luis Nunes and Susana Salvado

No 2, GEE Papers from Gabinete de Estratégia e Estudos, Ministério da Economia

Abstract: This paper consists of an empirical study comparing a dynamic factor model approach to estimate the current quarter aggregate GDP with the alternative approach of aggregating the forecasts obtained from specific dynamic factor models for each major expenditure disaggregate. The out-of-sample forecasting performance results suggest that there is no advantage in aggregating the disaggregate forecasts.

Keywords: Forecasting; Dynamic Factor Model; Temporal Disaggregation (search for similar items in EconPapers)
JEL-codes: C53 C82 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2007-02, Revised 2007-02
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (4)

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https://www.gee.gov.pt/RePEc/WorkingPapers/GEE_PAPERS_2.pdf First version, 2007 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:mde:wpaper:0002

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