Publications

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Latest publications on Dynamic factor model

The Euro-Sting revisited: PMI versus ESI to obtain euro area GDP forecasts

14 June 2011

This paper uses an extension of the Euro-Sting single-index dynamic factor model to construct short-term forecasts of quarterly GDP growth for the euro area.

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

26 August 2010

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.

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