메뉴 건너뛰기




Volumn 2, Issue , 2013, Pages 195-237

Now-casting and the real-time data flow

Author keywords

Dynamic factor model; High dimensional data; Macroeconomic forecasting; Macroeconomic news; Mixed frequency; Real time data

Indexed keywords


EID: 84881588644     PISSN: 15740706     EISSN: None     Source Type: Book Series    
DOI: 10.1016/B978-0-444-53683-9.00004-9     Document Type: Chapter
Times cited : (316)

References (91)
  • 1
    • 84855592548 scopus 로고    scopus 로고
    • Nowcasting norwegian GDP: the role of asset prices in a small open economy
    • Aastveit K., Trovik T. Nowcasting norwegian GDP: the role of asset prices in a small open economy. Empirical Economics 2012, 42(1):95-119.
    • (2012) Empirical Economics , vol.42 , Issue.1 , pp. 95-119
    • Aastveit, K.1    Trovik, T.2
  • 2
    • 84881592714 scopus 로고    scopus 로고
    • Nowcasting GDP in Real-Time: A Density Combination Approach. Working Paper 2011/11, Norges Bank.
    • Aastveit, K.A., Gerdrup, K.R., Jore, A.S., Thorsrud, L.A., 2011. Nowcasting GDP in Real-Time: A Density Combination Approach. Working Paper 2011/11, Norges Bank.
    • (2011)
    • Aastveit, K.A.1    Gerdrup, K.R.2    Jore, A.S.3    Thorsrud, L.A.4
  • 3
    • 84881564795 scopus 로고    scopus 로고
    • EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle. CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
    • Altissimo, F., Bassanetti, A., Cristadoro, R., Forni, M., Hallin, M., Lippi, M., Reichlin, L., Veronese, G., 2001. EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle. CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
    • (2001)
    • Altissimo, F.1    Bassanetti, A.2    Cristadoro, R.3    Forni, M.4    Hallin, M.5    Lippi, M.6    Reichlin, L.7    Veronese, G.8
  • 6
    • 84896705964 scopus 로고    scopus 로고
    • Estimating and forecasting the euro area monthly national accounts from a dynamic factor model
    • OECD Journal: Journal of Business Cycle Measurement and Analysis
    • Angelini E., Bańbura M., Rünstler G. Estimating and forecasting the euro area monthly national accounts from a dynamic factor model. OECD Journal: Journal of Business Cycle Measurement and Analysis 2010, 2010(1):7.
    • (2010) , vol.2010 , Issue.1 , pp. 7
    • Angelini, E.1    Bańbura, M.2    Rünstler, G.3
  • 11
    • 53649085867 scopus 로고    scopus 로고
    • Forecasting economic time series using targeted predictors
    • Bai J., Ng S. Forecasting economic time series using targeted predictors. Journal of Econometrics 2008, 146(2):304-317.
    • (2008) Journal of Econometrics , vol.146 , Issue.2 , pp. 304-317
    • Bai, J.1    Ng, S.2
  • 12
    • 84881601951 scopus 로고    scopus 로고
    • Maximum Likelihood Estimation of Large Factor Model on Datasets with Arbitrary Pattern of Missing Data. Working Paper Series 1189, European Central Bank.
    • Bańbura, M., Modugno, M., 2010. Maximum Likelihood Estimation of Large Factor Model on Datasets with Arbitrary Pattern of Missing Data. Working Paper Series 1189, European Central Bank.
    • (2010)
    • Bańbura, M.1    Modugno, M.2
  • 13
    • 78650961936 scopus 로고    scopus 로고
    • A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP
    • Bańbura M., Rünstler G. A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP. International Journal of Forecasting 2011, 27(2):333-346.
    • (2011) International Journal of Forecasting , vol.27 , Issue.2 , pp. 333-346
    • Bańbura, M.1    Rünstler, G.2
  • 16
    • 77449148484 scopus 로고    scopus 로고
    • Are disaggregate data useful for factor analysis in forecasting French GDP?
    • Barhoumi K., Darn O., Ferrara L. Are disaggregate data useful for factor analysis in forecasting French GDP?. Journal of Forecasting 2010, 29(1-2):132-144.
    • (2010) Journal of Forecasting , vol.29 , Issue.1-2 , pp. 132-144
    • Barhoumi, K.1    Darn, O.2    Ferrara, L.3
  • 17
    • 84881577595 scopus 로고    scopus 로고
    • Prevision de court terme de la croissance du PIB francais laide de modeles facteurs dynamiques. Documents de Travail Numéro 2011/01 de la DG Tresor 1, France, Tresor Direction Gnral, Economie et Prevision.
    • Bessec, M., Doz, C., Prevision de court terme de la croissance du PIB francais laide de modeles facteurs dynamiques. Documents de Travail Numéro 2011/01 de la DG Tresor 1, France, Tresor Direction Gnral, Economie et Prevision.
    • Bessec, M.1    Doz, C.2
  • 18
    • 79952706657 scopus 로고    scopus 로고
    • Real-time conditional forecasts with Bayesian VARs: an application to New Zealand
    • Bloor C., Matheson T. Real-time conditional forecasts with Bayesian VARs: an application to New Zealand. The North American Journal of Economics and Finance 2011, 22(1):26-42.
    • (2011) The North American Journal of Economics and Finance , vol.22 , Issue.1 , pp. 26-42
    • Bloor, C.1    Matheson, T.2
  • 19
    • 33646162895 scopus 로고    scopus 로고
    • Are more data always better for factor analysis?
    • Boivin J., Ng S. Are more data always better for factor analysis?. Journal of Econometrics 2006, 132(1):169-194.
    • (2006) Journal of Econometrics , vol.132 , Issue.1 , pp. 169-194
    • Boivin, J.1    Ng, S.2
  • 20
    • 77953511561 scopus 로고    scopus 로고
    • Introducing the euro-sting: short term indicator of euro area growth
    • Camacho M., Perez-Quiros G. Introducing the euro-sting: short term indicator of euro area growth. Journal of Applied Econometrics 2010, 25(4):663-694.
    • (2010) Journal of Applied Econometrics , vol.25 , Issue.4 , pp. 663-694
    • Camacho, M.1    Perez-Quiros, G.2
  • 21
    • 84881603771 scopus 로고    scopus 로고
    • Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility. Working Paper 1227, Federal Reserve Bank of Cleveland.
    • Carriero, A., Clark, T.E., Marcellino, M., 2012. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility. Working Paper 1227, Federal Reserve Bank of Cleveland.
    • (2012)
    • Carriero, A.1    Clark, T.E.2    Marcellino, M.3
  • 22
    • 84881585049 scopus 로고    scopus 로고
    • Properties of Blocked Linear Systems. Discussion Paper, Vienna University of Technology, Manuscript.
    • Chen, W., Anderson, B.D., Deistler, M., Filler, A., 2012. Properties of Blocked Linear Systems. Discussion Paper, Vienna University of Technology, Manuscript.
    • (2012)
    • Chen, W.1    Anderson, B.D.2    Deistler, M.3    Filler, A.4
  • 23
    • 84881573068 scopus 로고    scopus 로고
    • Chicago Fed, CFNAI Background Release. Discussion Paper.
    • Chicago Fed, 2001. CFNAI Background Release. Discussion Paper. http://www.chicagofed.org/economicresearchanddata/national/pdffiles/CFNAIbga.pdf.
    • (2001)
  • 25
    • 70349956263 scopus 로고    scopus 로고
    • Forecasting US output growth using leading indicators: an appraisal using MIDAS models
    • Clements M.P., Galvão A.B. Forecasting US output growth using leading indicators: an appraisal using MIDAS models. Journal of Applied Econometrics 2009, 24(7):1187-1206.
    • (2009) Journal of Applied Econometrics , vol.24 , Issue.7 , pp. 1187-1206
    • Clements, M.P.1    Galvão, A.B.2
  • 26
    • 79953834517 scopus 로고    scopus 로고
    • Frontiers of real-time data analysis
    • Croushore D. Frontiers of real-time data analysis. Journal of Economic Literature 2011, 49(1):72-100.
    • (2011) Journal of Economic Literature , vol.49 , Issue.1 , pp. 72-100
    • Croushore, D.1
  • 27
    • 84881605341 scopus 로고    scopus 로고
    • Rare Shocks. Great Recessions. Discussion Paper, Federal Reserve Bank of New York, Manuscript.
    • Curdia, V., Del Negro, M., Greenwald, D., 2012. Rare Shocks. Great Recessions. Discussion Paper, Federal Reserve Bank of New York, Manuscript.
    • (2012)
    • Curdia, V.1    Del Negro, M.2    Greenwald, D.3
  • 28
    • 84881576999 scopus 로고    scopus 로고
    • Now-casting Irish GDP. Research Technical Papers 9/RT/08, Central Bank & Financial Services Authority of Ireland (CBFSAI).
    • D'Agostino, A., McQuinn, K., O'Brien, D., 2008. Now-casting Irish GDP. Research Technical Papers 9/RT/08, Central Bank & Financial Services Authority of Ireland (CBFSAI).
    • (2008)
    • D'Agostino, A.1    McQuinn, K.2    O'Brien, D.3
  • 29
    • 84881591248 scopus 로고    scopus 로고
    • Nowcasting Spanish GDP Growth in Real Time: "One and A Half Months Earlier". Banco de Espaa Working Papers 1037, Banco de Espaa.
    • de Antonio Liedo, D., Muoz, E.F., 2010. Nowcasting Spanish GDP Growth in Real Time: "One and A Half Months Earlier". Banco de Espaa Working Papers 1037, Banco de Espaa.
    • (2010)
    • de Antonio Liedo, D.1    Muoz, E.F.2
  • 30
    • 0043169189 scopus 로고
    • Covariances for smoothed estimates in state space models
    • De Jong P., Mackinnon M.J. Covariances for smoothed estimates in state space models. Biometrika 1988, 75(3):601-602.
    • (1988) Biometrika , vol.75 , Issue.3 , pp. 601-602
    • De Jong, P.1    Mackinnon, M.J.2
  • 31
    • 53649093540 scopus 로고    scopus 로고
    • Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
    • De Mol C., Giannone D., Reichlin L. Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?. Journal of Econometrics 2008, 146(2):318-328.
    • (2008) Journal of Econometrics , vol.146 , Issue.2 , pp. 318-328
    • De Mol, C.1    Giannone, D.2    Reichlin, L.3
  • 32
    • 84881587967 scopus 로고    scopus 로고
    • Forecasting GDP Growth in Times of Crisis: Private Sector Forecasts Versus Statistical Models. DNB Working Papers 320, Netherlands Central Bank, Research Department.
    • de Winter, J., 2011. Forecasting GDP Growth in Times of Crisis: Private Sector Forecasts Versus Statistical Models. DNB Working Papers 320, Netherlands Central Bank, Research Department.
    • (2011)
    • de Winter, J.1
  • 33
    • 49649112897 scopus 로고    scopus 로고
    • Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
    • Diron M. Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data. Journal of Forecasting 2008, 27(5):371-390.
    • (2008) Journal of Forecasting , vol.27 , Issue.5 , pp. 371-390
    • Diron, M.1
  • 34
    • 79960364553 scopus 로고    scopus 로고
    • A two-step estimator for large approximate dynamic factor models based on Kalman filtering
    • Doz C., Giannone D., Reichlin L. A two-step estimator for large approximate dynamic factor models based on Kalman filtering. Journal of Econometrics 2011, 164(1):188-205.
    • (2011) Journal of Econometrics , vol.164 , Issue.1 , pp. 188-205
    • Doz, C.1    Giannone, D.2    Reichlin, L.3
  • 35
    • 84871575482 scopus 로고    scopus 로고
    • A maximum likelihood approach for large approximate dynamic factor models
    • Doz C., Giannone D., Reichlin L. A maximum likelihood approach for large approximate dynamic factor models. Review of Economics and Statistics 2012, 94(4):1014-1024.
    • (2012) Review of Economics and Statistics , vol.94 , Issue.4 , pp. 1014-1024
    • Doz, C.1    Giannone, D.2    Reichlin, L.3
  • 36
    • 84881591073 scopus 로고    scopus 로고
    • A Comparison of Bottom-Up Approaches and Direct Forecasts of German GDP in a Data-Rich Environment. Discussion Paper, Halle Institute for Economic Research (IWH), Manuscript.
    • Drechsel, K., Scheufele, R., 2012. A Comparison of Bottom-Up Approaches and Direct Forecasts of German GDP in a Data-Rich Environment. Discussion Paper, Halle Institute for Economic Research (IWH), Manuscript.
    • (2012)
    • Drechsel, K.1    Scheufele, R.2
  • 37
    • 84881581233 scopus 로고    scopus 로고
    • Short-term forecasts of economic activity in the euro area
    • European Central Bank, April ECB
    • ECB Short-term forecasts of economic activity in the euro area. Monthly Bulletin 2008, 69-74. European Central Bank, April.
    • (2008) Monthly Bulletin , pp. 69-74
  • 38
    • 33747392621 scopus 로고    scopus 로고
    • Where are we now? Real-time estimates of the macroeconomy
    • Evans M.D.D. Where are we now? Real-time estimates of the macroeconomy. International Journal of Central Banking 2005, 1(2).
    • (2005) International Journal of Central Banking , vol.1 , Issue.2
    • Evans, M.D.D.1
  • 39
    • 0141799949 scopus 로고    scopus 로고
    • Do financial variables help forecasting inflation and real activity in the euro area?
    • Forni M., Hallin M., Lippi M., Reichlin L. Do financial variables help forecasting inflation and real activity in the euro area?. Journal of Monetary Economics 2003, 50(6):1243-1255.
    • (2003) Journal of Monetary Economics , vol.50 , Issue.6 , pp. 1243-1255
    • Forni, M.1    Hallin, M.2    Lippi, M.3    Reichlin, L.4
  • 40
    • 74149090687 scopus 로고    scopus 로고
    • Opening the black box: structural factor models with large cross sections
    • Forni M., Giannone D., Lippi M., Reichlin L. Opening the black box: structural factor models with large cross sections. Econometric Theory 2009, 25(05):1319-1347.
    • (2009) Econometric Theory , vol.25 , Issue.5 , pp. 1319-1347
    • Forni, M.1    Giannone, D.2    Lippi, M.3    Reichlin, L.4
  • 43
    • 84881587939 scopus 로고    scopus 로고
    • MIDAS Regressions: Further Results and New Directions. Working Paper, UNC and UCLA.
    • Ghysels, E., Santa-Clara, P., Sinko, A., Valkanov, R., 2003. MIDAS Regressions: Further Results and New Directions. Working Paper, UNC and UCLA.
    • (2003)
    • Ghysels, E.1    Santa-Clara, P.2    Sinko, A.3    Valkanov, R.4
  • 44
    • 21244451040 scopus 로고    scopus 로고
    • Monetary policy in real time
    • MIT Press, M. Gertler, K. Rogoff (Eds.)
    • Giannone D., Reichlin L., Sala L. Monetary policy in real time. NBER Macroeconomics Annual 2004, 161-200. MIT Press. M. Gertler, K. Rogoff (Eds.).
    • (2004) NBER Macroeconomics Annual , pp. 161-200
    • Giannone, D.1    Reichlin, L.2    Sala, L.3
  • 45
    • 46949109976 scopus 로고    scopus 로고
    • Nowcasting: the real-time informational content of macroeconomic data
    • Giannone D., Reichlin L., Small D. Nowcasting: the real-time informational content of macroeconomic data. Journal of Monetary Economics 2008, 55(4):665-676.
    • (2008) Journal of Monetary Economics , vol.55 , Issue.4 , pp. 665-676
    • Giannone, D.1    Reichlin, L.2    Small, D.3
  • 47
    • 70350645358 scopus 로고    scopus 로고
    • Nowcasting euro area economic activity in real time: the role of confidence indicators
    • Giannone D., Reichlin L., Simonelli S. Nowcasting euro area economic activity in real time: the role of confidence indicators. National Institute Economic Review 2009, 210:90-97.
    • (2009) National Institute Economic Review , vol.210 , pp. 90-97
    • Giannone, D.1    Reichlin, L.2    Simonelli, S.3
  • 48
    • 84881606152 scopus 로고    scopus 로고
    • Prior Selection for Vector Autoregressions. CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
    • Giannone, D., Lenza, M., Primiceri, G.E., 2012. Prior Selection for Vector Autoregressions. CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
    • (2012)
    • Giannone, D.1    Lenza, M.2    Primiceri, G.E.3
  • 50
    • 84881578646 scopus 로고    scopus 로고
    • Early Estimates of Euro Area Real GDP Growth - A Bottom Up Approach from the Production Side. Working Paper Series 975, European Central Bank.
    • Hahn, E., Skudelny, F., 2008. Early Estimates of Euro Area Real GDP Growth - A Bottom Up Approach from the Production Side. Working Paper Series 975, European Central Bank.
    • (2008)
    • Hahn, E.1    Skudelny, F.2
  • 52
    • 84881592193 scopus 로고    scopus 로고
    • Forecasting with Bayesian VAR models
    • North Holland, A.T. Graham Elliott (Ed.)
    • Karlsson S. Forecasting with Bayesian VAR models. Handbook of Economic Forecasting 2013, North Holland. A.T. Graham Elliott (Ed.).
    • (2013) Handbook of Economic Forecasting
    • Karlsson, S.1
  • 53
    • 33645820755 scopus 로고    scopus 로고
    • Real-time forecasting in practice the US treasury Staff's real-time GDP forecast system
    • Kitchen J., Monaco R.M. Real-time forecasting in practice the US treasury Staff's real-time GDP forecast system. Business Economics 2003, 10-19.
    • (2003) Business Economics , pp. 10-19
    • Kitchen, J.1    Monaco, R.M.2
  • 54
    • 84874021974 scopus 로고    scopus 로고
    • Forecasting with Medium and Large Bayesian VARs, Working Papers 1117, University of Strathclyde Business School, Department of Economics, Journal of Applied Econometrics 28 (2) 177-203
    • Koop, G., 2013. Forecasting with Medium and Large Bayesian VARs, Working Papers 1117, University of Strathclyde Business School, Department of Economics, Journal of Applied Econometrics 28 (2) 177-203.
    • (2013)
    • Koop, G.1
  • 56
    • 84875668666 scopus 로고    scopus 로고
    • Pooling Versus Model Selection For Nowcasting GDP With Many Predictors: Empirical Evidence For Six Industrialized Countries
    • Kuzin V., Marcellino M., Schumacher C. Pooling Versus Model Selection For Nowcasting GDP With Many Predictors: Empirical Evidence For Six Industrialized Countries. Journal of Applied Econometrics 2013, 28(3):392-441.
    • (2013) Journal of Applied Econometrics , vol.28 , Issue.3 , pp. 392-441
    • Kuzin, V.1    Marcellino, M.2    Schumacher, C.3
  • 57
    • 84881606657 scopus 로고    scopus 로고
    • Nowcasting US GDP: The Role of ISM Business Surveys. SUNY at Albany Discussion Papers 11-01, University at Albany, SUNY.
    • Lahiri, K., Monokroussos, G., 2011. Nowcasting US GDP: The Role of ISM Business Surveys. SUNY at Albany Discussion Papers 11-01, University at Albany, SUNY.
    • (2011)
    • Lahiri, K.1    Monokroussos, G.2
  • 58
    • 84881571770 scopus 로고    scopus 로고
    • Real-Time Forecasting in a Data-Rich Environment. Discussion Paper 39452, MPRA Paper.
    • Liebermann, J., 2012a. Real-Time Forecasting in a Data-Rich Environment. Discussion Paper 39452, MPRA Paper.
    • (2012)
    • Liebermann, J.1
  • 59
    • 84881583437 scopus 로고    scopus 로고
    • Short-term forecasting of quarterly gross domestic product growth
    • Liebermann J. Short-term forecasting of quarterly gross domestic product growth. Central Bank of Ireland Quarterly Bulletin 2012, 3:74-84.
    • (2012) Central Bank of Ireland Quarterly Bulletin , vol.3 , pp. 74-84
    • Liebermann, J.1
  • 60
    • 77954849157 scopus 로고    scopus 로고
    • Factor MIDAS for nowcasting and forecasting with ragged-edge data: a model comparison for German GDP
    • Marcellino M., Schumacher C. Factor MIDAS for nowcasting and forecasting with ragged-edge data: a model comparison for German GDP. Oxford Bulletin of Economics and Statistics 2010, 72(4):518-550.
    • (2010) Oxford Bulletin of Economics and Statistics , vol.72 , Issue.4 , pp. 518-550
    • Marcellino, M.1    Schumacher, C.2
  • 61
    • 84881593963 scopus 로고    scopus 로고
    • Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility. Discussion Paper, European University Institute, Manuscript.
    • Marcellino, M., Porqueddu, M., Venditti, F., 2012. Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility. Discussion Paper, European University Institute, Manuscript.
    • (2012)
    • Marcellino, M.1    Porqueddu, M.2    Venditti, F.3
  • 62
    • 0042658073 scopus 로고    scopus 로고
    • A new coincident index of business cycles based on monthly and quarterly series
    • Mariano R., Murasawa Y. A new coincident index of business cycles based on monthly and quarterly series. Journal of Applied Econometrics 2003, 18:427-443.
    • (2003) Journal of Applied Econometrics , vol.18 , pp. 427-443
    • Mariano, R.1    Murasawa, Y.2
  • 64
    • 71349085370 scopus 로고    scopus 로고
    • An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys
    • Matheson T.D. An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys. Economic Modelling 2010, 27(1):304-314.
    • (2010) Economic Modelling , vol.27 , Issue.1 , pp. 304-314
    • Matheson, T.D.1
  • 65
    • 84881574285 scopus 로고    scopus 로고
    • New Indicators for Tracking Growth in Real Time. IMF Working Papers 11/43, International Monetary Fund.
    • Matheson, T., 2011. New Indicators for Tracking Growth in Real Time. IMF Working Papers 11/43, International Monetary Fund.
    • (2011)
    • Matheson, T.1
  • 66
    • 84881567975 scopus 로고    scopus 로고
    • Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR. Manuscript.
    • McCracken, M.W., Sekhposyan, T., Owyang, M., 2013. Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR. Manuscript.
    • (2013)
    • McCracken, M.W.1    Sekhposyan, T.2    Owyang, M.3
  • 67
    • 84881596357 scopus 로고    scopus 로고
    • Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data. CESifo Working Paper Series 1203, CESifo Group Munich.
    • Mittnik, S., Zadrozny, P.A., 2004. Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data. CESifo Working Paper Series 1203, CESifo Group Munich.
    • (2004)
    • Mittnik, S.1    Zadrozny, P.A.2
  • 68
    • 84881602413 scopus 로고    scopus 로고
    • Nowcasting Inflation Using High Frequency Data. International Journal of Forecasting.
    • Modugno, M., 2011. Nowcasting Inflation Using High Frequency Data. International Journal of Forecasting.
    • (2011)
    • Modugno, M.1
  • 69
    • 84881576906 scopus 로고    scopus 로고
    • Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models. Discussion Papers 2012-03, The University of New South Wales, School of Economics.
    • Ouysse, R., 2011. Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models. Discussion Papers 2012-03, The University of New South Wales, School of Economics.
    • (2011)
    • Ouysse, R.1
  • 70
    • 33947590731 scopus 로고    scopus 로고
    • The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries
    • Parigi G., Golinelli R. The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries. Journal of Forecasting 2007, 26(2):77-94.
    • (2007) Journal of Forecasting , vol.26 , Issue.2 , pp. 77-94
    • Parigi, G.1    Golinelli, R.2
  • 71
    • 84979380739 scopus 로고
    • Quarterly forecasts of the Italian business cycle by means of monthly indicators
    • Parigi G., Schlitzer G. Quarterly forecasts of the Italian business cycle by means of monthly indicators. Journal of Forecasting 1995, 14(2):117-141.
    • (1995) Journal of Forecasting , vol.14 , Issue.2 , pp. 117-141
    • Parigi, G.1    Schlitzer, G.2
  • 72
    • 84881563990 scopus 로고    scopus 로고
    • Forecast Rationality Tests Based on Multi-Horizon Bounds. CEPR Discussion Papers 8194, C.E.P.R. Discussion Papers.
    • Patton, J.A., Timmermann, A., 2011. Forecast Rationality Tests Based on Multi-Horizon Bounds. CEPR Discussion Papers 8194, C.E.P.R. Discussion Papers.
    • (2011)
    • Patton, J.A.1    Timmermann, A.2
  • 73
    • 82055200212 scopus 로고    scopus 로고
    • Estimation of common factors under cross-sectional and temporal aggregation constraints
    • Proietti T. Estimation of common factors under cross-sectional and temporal aggregation constraints. International Statistical Review 2011, 79(3):455-476.
    • (2011) International Statistical Review , vol.79 , Issue.3 , pp. 455-476
    • Proietti, T.1
  • 74
    • 33644617194 scopus 로고    scopus 로고
    • Dynamic factor analysis with non-linear temporal aggregation constraints
    • Proietti T., Moauro F. Dynamic factor analysis with non-linear temporal aggregation constraints. Journal of the Royal Statistical Society Series C 2006, 55(2):281-300.
    • (2006) Journal of the Royal Statistical Society Series C , vol.55 , Issue.2 , pp. 281-300
    • Proietti, T.1    Moauro, F.2
  • 76
    • 0003331699 scopus 로고
    • Business cycle modeling without pretending to have too much a-priori economic theory
    • Federal Reserve Bank of Minneapolis, C. Sims (Ed.)
    • Sargent T.J., Sims C.A. Business cycle modeling without pretending to have too much a-priori economic theory. New Methods in Business Cycle Research 1977, Federal Reserve Bank of Minneapolis. C. Sims (Ed.).
    • (1977) New Methods in Business Cycle Research
    • Sargent, T.J.1    Sims, C.A.2
  • 77
    • 84881580132 scopus 로고    scopus 로고
    • Cointegration Analysis with Mixed-Frequency Data. CESifo Working Paper 1939, CESifo Group Munich.
    • Seong, B., Ahn, S.K., Zadrozny, P.A., 2007. Cointegration Analysis with Mixed-Frequency Data. CESifo Working Paper 1939, CESifo Group Munich.
    • (2007)
    • Seong, B.1    Ahn, S.K.2    Zadrozny, P.A.3
  • 78
    • 84986753417 scopus 로고
    • An approach to time series smoothing and forecasting using the EM algorithm
    • Shumway R., Stoffer D. An approach to time series smoothing and forecasting using the EM algorithm. Journal of Time Series Analysis 1982, 3:253-264.
    • (1982) Journal of Time Series Analysis , vol.3 , pp. 253-264
    • Shumway, R.1    Stoffer, D.2
  • 80
    • 84881575958 scopus 로고    scopus 로고
    • Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland. KOF Working Papers 10-251, KOF Swiss Economic Institute, ETH Zurich.
    • Siliverstovs, B., Kholodilin, K.A., 2012. Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland. KOF Working Papers 10-251, KOF Swiss Economic Institute, ETH Zurich.
    • (2012)
    • Siliverstovs, B.1    Kholodilin, K.A.2
  • 81
    • 0000076932 scopus 로고
    • New Indexes of Coincident and Leading Economic Indicators
    • National Bureau of Economic Research, Inc. NBER Macroeconomics Annual 1989
    • Stock J.H., Watson M.W. New Indexes of Coincident and Leading Economic Indicators. NBER Chapters 1989, vol. 4:351-409. National Bureau of Economic Research, Inc.
    • (1989) NBER Chapters , vol.4 , pp. 351-409
    • Stock, J.H.1    Watson, M.W.2
  • 82
    • 2442579426 scopus 로고    scopus 로고
    • Forecasting output and inflation: the role of asset prices
    • Stock J.H., Watson M.W. Forecasting output and inflation: the role of asset prices. Journal of Economic Literature 2003, 41(3):788-829.
    • (2003) Journal of Economic Literature , vol.41 , Issue.3 , pp. 788-829
    • Stock, J.H.1    Watson, M.W.2
  • 83
    • 84860266561 scopus 로고    scopus 로고
    • Dynamic factor models
    • Oxford University Press, M.P. Clements, D.F. Hendry (Eds.)
    • Stock J.H., Watson M.W. Dynamic factor models. Oxford Handbook on Economic Forecasting 2011, Oxford University Press. M.P. Clements, D.F. Hendry (Eds.).
    • (2011) Oxford Handbook on Economic Forecasting
    • Stock, J.H.1    Watson, M.W.2
  • 84
    • 84870482363 scopus 로고    scopus 로고
    • Generalized shrinkage methods for forecasting using many predictors
    • Stock J.H., Watson M.W. Generalized shrinkage methods for forecasting using many predictors. Journal of Business and Economics Statistics 2012, 30(4):481-493.
    • (2012) Journal of Business and Economics Statistics , vol.30 , Issue.4 , pp. 481-493
    • Stock, J.H.1    Watson, M.W.2
  • 85
    • 80051910691 scopus 로고    scopus 로고
    • Forecasting private consumption: survey-based indicators vs. Google trends
    • Vosen S., Schmidt T. Forecasting private consumption: survey-based indicators vs. Google trends. Journal of Forecasting 2011, 30(6):565-578.
    • (2011) Journal of Forecasting , vol.30 , Issue.6 , pp. 565-578
    • Vosen, S.1    Schmidt, T.2
  • 86
    • 84881577992 scopus 로고    scopus 로고
    • Comment on Giannone, Reichlin, and Sala
    • MIT Press, M. Gertler, K. Rogoff (Eds.)
    • Watson M.W. Comment on Giannone, Reichlin, and Sala. NBER Macroeconomics Annual 2004, 216-221. MIT Press. M. Gertler, K. Rogoff (Eds.).
    • (2004) NBER Macroeconomics Annual , pp. 216-221
    • Watson, M.W.1
  • 87
    • 0000546599 scopus 로고
    • Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
    • Watson M.W., Engle R.F. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models. Journal of Econometrics 1983, 23:385-400.
    • (1983) Journal of Econometrics , vol.23 , pp. 385-400
    • Watson, M.W.1    Engle, R.F.2
  • 88
    • 84950435766 scopus 로고
    • An exact test for multiple inequality and equality constraints in the linear regression model
    • Wolak F.A. An exact test for multiple inequality and equality constraints in the linear regression model. Journal of the American Statistical Association 1987, 82:782-793.
    • (1987) Journal of the American Statistical Association , vol.82 , pp. 782-793
    • Wolak, F.A.1
  • 89
    • 0000314486 scopus 로고
    • Testing inequality constraints in linear econometric models
    • Wolak F.A. Testing inequality constraints in linear econometric models. Journal of Econometrics 1989, 31:205-235.
    • (1989) Journal of Econometrics , vol.31 , pp. 205-235
    • Wolak, F.A.1
  • 90
    • 84858955397 scopus 로고    scopus 로고
    • Nowcasting Chinese GDP: information content of economic and financial data
    • Yiu M.S., Chow K.K. Nowcasting Chinese GDP: information content of economic and financial data. China Economic Journal 2010, 3(3):223-240.
    • (2010) China Economic Journal , vol.3 , Issue.3 , pp. 223-240
    • Yiu, M.S.1    Chow, K.K.2
  • 91
    • 84881578036 scopus 로고
    • Estimating a Multivariate ARMA Model with Mixed-Frequency Data: An Application to Forecating US GNP at Monthly Intervals. Working Paper Series 90-6, Federal Reserve Bank of Atlanta.
    • Zadrozny, P., 1990. Estimating a Multivariate ARMA Model with Mixed-Frequency Data: An Application to Forecating US GNP at Monthly Intervals. Working Paper Series 90-6, Federal Reserve Bank of Atlanta.
    • (1990)
    • Zadrozny, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.