메뉴 건너뛰기




Volumn 44, Issue , 2015, Pages 266-272

Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence

Author keywords

Crisis; Diffusion index; Factor models; Forecasting; Targeted diffusion index

Indexed keywords


EID: 84910618522     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2014.10.034     Document Type: Article
Times cited : (24)

References (26)
  • 3
    • 0036221554 scopus 로고    scopus 로고
    • Determining the number of factors in approximate factor models
    • Bai J., Ng S. Determining the number of factors in approximate factor models. Econometrica 2002, 70:191-221.
    • (2002) Econometrica , vol.70 , pp. 191-221
    • Bai, J.1    Ng, S.2
  • 4
    • 33846119127 scopus 로고    scopus 로고
    • Determining the number of primitive shocks in factor models
    • Bai J., Ng S. Determining the number of primitive shocks in factor models. J. Bus. Econ. Stat. 2007, 25:52-60.
    • (2007) J. Bus. Econ. Stat. , vol.25 , pp. 52-60
    • Bai, J.1    Ng, S.2
  • 5
    • 53649085867 scopus 로고    scopus 로고
    • Forecasting economic time series using targeted predictors
    • Bai J., Ng S. Forecasting economic time series using targeted predictors. J. Econ. 2008, 146(2):304-317.
    • (2008) J. Econ. , vol.146 , Issue.2 , pp. 304-317
    • Bai, J.1    Ng, S.2
  • 6
    • 77449148484 scopus 로고    scopus 로고
    • Are disaggregate data useful for factor analysis in forecasting French GDP?
    • Barhoumi K., Darné O., Ferrara L. Are disaggregate data useful for factor analysis in forecasting French GDP?. J. Forecast. 2010, 29(1-2):132-144.
    • (2010) J. Forecast. , vol.29 , Issue.1-2 , pp. 132-144
    • Barhoumi, K.1    Darné, O.2    Ferrara, L.3
  • 7
    • 84910618177 scopus 로고    scopus 로고
    • Forecasting GDP growth in times of crisis: private sector forecasts versus statistical models
    • Netherlands Central Bank
    • de Winter J. Forecasting GDP growth in times of crisis: private sector forecasts versus statistical models. DNB Working Papers 320 2011, Netherlands Central Bank.
    • (2011) DNB Working Papers 320
    • de Winter, J.1
  • 8
    • 84875224555 scopus 로고    scopus 로고
    • Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets
    • den Reijer A. Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets. Empir. Econ. 2013, 44:435-453.
    • (2013) Empir. Econ. , vol.44 , pp. 435-453
    • den Reijer, A.1
  • 9
    • 77949580182 scopus 로고    scopus 로고
    • Forecasting using targeted diffusion indexes
    • Dias F., Pinheiro M., Rua A. Forecasting using targeted diffusion indexes. J. Forecast. 2010, 29(3):341-352.
    • (2010) J. Forecast. , vol.29 , Issue.3 , pp. 341-352
    • Dias, F.1    Pinheiro, M.2    Rua, A.3
  • 11
    • 0002931014 scopus 로고
    • The dynamic factor analysis of economic time series
    • North-Holland, D. Aigner, A. Goldberger (Eds.)
    • Geweke J. The dynamic factor analysis of economic time series. Latent Variables in Socio-Economic Models 1977, North-Holland. D. Aigner, A. Goldberger (Eds.).
    • (1977) Latent Variables in Socio-Economic Models
    • Geweke, J.1
  • 12
    • 0003072876 scopus 로고
    • Maximum likelihood 'confirmatory' factor analysis of economic time series
    • Geweke J., Singleton K. Maximum likelihood 'confirmatory' factor analysis of economic time series. Int. Econ. Rev. 1977, 22:37-54.
    • (1977) Int. Econ. Rev. , vol.22 , pp. 37-54
    • Geweke, J.1    Singleton, K.2
  • 13
    • 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. J. Monet. Econ. 2008, 55(4):665-676.
    • (2008) J. Monet. Econ. , vol.55 , Issue.4 , pp. 665-676
    • Giannone, D.1    Reichlin, L.2    Small, D.3
  • 14
    • 0037307624 scopus 로고    scopus 로고
    • Macroeconomic forecasting in the euro area: country specific versus euro wide information
    • Marcellino M., Stock J.H., Watson M. Macroeconomic forecasting in the euro area: country specific versus euro wide information. Eur. Econ. Rev. 2003, 47:1-18.
    • (2003) Eur. Econ. Rev. , vol.47 , pp. 1-18
    • Marcellino, M.1    Stock, J.H.2    Watson, M.3
  • 15
    • 84871559424 scopus 로고    scopus 로고
    • Dynamic factor models with jagged edge panel data: taking on board the dynamics of the idiosyncratic components
    • Pinheiro M., Rua A., Dias F. Dynamic factor models with jagged edge panel data: taking on board the dynamics of the idiosyncratic components. Oxf. Bull. Econ. Stat. 2013, 75(1):80-102.
    • (2013) Oxf. Bull. Econ. Stat. , vol.75 , Issue.1 , pp. 80-102
    • Pinheiro, M.1    Rua, A.2    Dias, F.3
  • 17
    • 0003331699 scopus 로고
    • Business cycle modelling without pretending to have too much a priori economic theory
    • Federal Reserve Bank of Minneapolis, C.A. Sims (Ed.)
    • Sargent T., Sims C. Business cycle modelling without pretending to have too much a priori economic theory. New Methods in Business Research 1981, Federal Reserve Bank of Minneapolis. C.A. Sims (Ed.).
    • (1981) New Methods in Business Research
    • Sargent, T.1    Sims, C.2
  • 18
    • 34547509116 scopus 로고    scopus 로고
    • Forecasting German GDP using alternative factor models based on large datasets
    • Schumacher C. Forecasting German GDP using alternative factor models based on large datasets. J. Forecast. 2007, 26(4):271-302.
    • (2007) J. Forecast. , vol.26 , Issue.4 , pp. 271-302
    • Schumacher, C.1
  • 19
    • 77950923679 scopus 로고    scopus 로고
    • Factor forecasting using international targeted predictors: the case of German GDP
    • Schumacher C. Factor forecasting using international targeted predictors: the case of German GDP. Econ. Lett. 2010, 107(2):95-98.
    • (2010) Econ. Lett. , vol.107 , Issue.2 , pp. 95-98
    • Schumacher, C.1
  • 20
    • 79955599140 scopus 로고    scopus 로고
    • Forecasting with factor models estimated on large datasets: a review of the recent literature and evidence for German GDP
    • Schumacher C. Forecasting with factor models estimated on large datasets: a review of the recent literature and evidence for German GDP. J. Econ. Stat. 2011, 231(1):28-49.
    • (2011) J. Econ. Stat. , vol.231 , Issue.1 , pp. 28-49
    • Schumacher, C.1
  • 21
    • 49349105919 scopus 로고    scopus 로고
    • Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data
    • Schumacher C., Breitung J. Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data. Int. J. Forecast. 2008, 24(3):386-398.
    • (2008) Int. J. Forecast. , vol.24 , Issue.3 , pp. 386-398
    • Schumacher, C.1    Breitung, J.2
  • 22
    • 0003466898 scopus 로고    scopus 로고
    • Diffusion indexes
    • National Bureau of Economic Research
    • Stock J.H., Watson M. Diffusion indexes. Working Paper no. 6702 1998, National Bureau of Economic Research.
    • (1998) Working Paper no. 6702
    • Stock, J.H.1    Watson, M.2
  • 23
    • 0036005160 scopus 로고    scopus 로고
    • Macroeconomic forecasting using diffusion indices
    • Stock J.H., Watson M. Macroeconomic forecasting using diffusion indices. J. Bus. Econ. Stat. 2002, 20:147-162.
    • (2002) J. Bus. Econ. Stat. , vol.20 , pp. 147-162
    • Stock, J.H.1    Watson, M.2
  • 24
    • 0036970448 scopus 로고    scopus 로고
    • Forecasting using principal components from a large number of predictors
    • Stock J.H., Watson M. Forecasting using principal components from a large number of predictors. J. Am. Stat. Assoc. 2002, 97:1167-1179.
    • (2002) J. Am. Stat. Assoc. , vol.97 , pp. 1167-1179
    • Stock, J.H.1    Watson, M.2
  • 25
    • 33750196583 scopus 로고    scopus 로고
    • Implications of dynamic factor models for VAR analysis
    • National Bureau of Economic Research
    • Stock J.H., Watson M. Implications of dynamic factor models for VAR analysis. Working Paper no. 11467 2005, National Bureau of Economic Research.
    • (2005) Working Paper no. 11467
    • Stock, J.H.1    Watson, M.2
  • 26
    • 0000546599 scopus 로고
    • Alternative algorithms for the estimation of dynamic factors, MIMIC, and varying coefficient regression models
    • Watson M., Engle R. Alternative algorithms for the estimation of dynamic factors, MIMIC, and varying coefficient regression models. J. Econ. 1983, 23:385-400.
    • (1983) J. Econ. , vol.23 , pp. 385-400
    • Watson, M.1    Engle, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.