Dynamic factor model
Dynamic factor model latest publications
Advanced filter
Filter all of our publications to find the ones you are most interested in by content language, date, geography and/or topic.
Sort our publications chronologically from newest to oldest, regardless of geography and/or topic matter.
Sort publications according to the number of time reads by our users, regardless of geography and/or topic matter.
August 26, 2010
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.
- Types of files Downloads:
- Files