MICA-BBVA: A Factor Model of Economic and Financial Indicators for Short-term GDP Forecasting
Publicada el jueves, 26 de agosto de 2010 | Actualizada el martes, 20 de mayo de 2014
MICA-BBVA: A Factor Model of Economic and Financial Indicators for Short-term GDP Forecasting
Resumen
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.
Geografías
- Etiquetas de Geografía
- España
Temáticas
- Etiquetas de Temática
- Análisis Macroeconómico
Etiquetas
Autores
Máximo Camacho
Universidad de Murcia - Colaborador externo
Rafael Doménech
BBVA Research - Responsable de Análisis Económico