GDP estimation and forecast

Modelling euro area GDP growth with dynamic factor models

JEL codes: 
Version Date: 
Oct 2012

Using structural models to estimate and forecast quarterly GDP conditional on a large
number of economic indicators raises parsimony problems, such as the need to define many
identification restrictions and also to deal with very sparse asymptotic distributions of the
coefficients. Factor models have the role to fill this gap in macroeconomic modelling. The

Report file: 
PDF icon Download the paper (169.97 KB)