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GDP short term forecasting models using coincident indicators
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Orientador(es)
Resumo(s)
The purposes of the present work is investigating the different types of short-term forecasting models used by several institutions and explore empirically how monthly dynamic factor model can be used to forecast economic activity on a quarterly basis. We find two main finding: (i) is that, to forecast quarterly GDP, there is an advantage in using as indicator the unobserved monthly series underling in this quarterly variable, (ii) is that forecasting this quarterly variable, using TRAMO-SEATS methodology present advantages relatives other candidates models. Finally we find that dynamic factor model, may not yields a better forecast than other models.
Descrição
A Work Project, presented as part as the requirements for the Award of a Masters Degree in Economics from the Nova School in Business and Economics
Palavras-chave
economic cycles economic activity leading indicator coincident indicator lagging indicator principal components dynamic factor mode