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Published on Thursday, August 26, 2010 | Updated on Tuesday, May 20, 2014

MICA-BBVA: A Factor Model of Economic and Financial Indicators for Short-term GDP Forecasting

In this paper we extend the Stock and Watson’s (1991) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different frequencies and delays with respect to the period to which they refer.