Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Year of publication: |
2023
|
---|---|
Authors: | Eraslan, Sercan ; Schröder, Maximilian |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 3, p. 1460-1476
|
Subject: | Dynamic factor model | Forecasting | Mixed-frequency | Model averaging | Stochastic volatility | Time-varying parameter | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Theorie | Theory | Wirtschaftsprognose | Economic forecast | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Nationaleinkommen | National income | Zustandsraummodell | State space model | Frühindikator | Leading indicator |
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