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.
Dynamic factor model
Dynamic factor model latest publications
August 26, 2010
MICA-BBVA: A Factor Model of Economic and Financial Indicators for Short-term GDP Forecast…
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.