English, Article, Journal or magazine article edition: Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation? Cecilia Frale

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Bookmark: http://trove.nla.gov.au/version/76361
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?
Author
  • Cecilia Frale
Physical Description
  • preprint
Notes
  • This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic variables at higher frequency. We propose a multivariate approach which is an extension of the Stock and Watson (1991) dynamic factor model, considering more than one common factor and low-frequency cycles. The multivariate model is cast in State Space Form and the temporal aggregation constraint is converted into a problem of missing values. An application in real time for the value added of the Industry sector in the Euro area is presented.
  • Temporal Disaggregation. Multivariate State Space Models. Dynamic factor
  • RePEc:itt:wpaper:wp2008-2
Language
  • English
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