Autore: Frale, Cecilia
Titolo: Do Surveys Help in macroeconomic variables disaggregation and estimation?
Periodico: Ministero dell'Economia e delle Finanze. Dipartimento del Tesoro. Working paper
Anno: 2008 - Volume: 2 - Fascicolo: 2 - Pagina iniziale: 1 - Pagina finale: 31

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.




SICI: 1972-411X(2008)2:2<1:DSHIMV>2.0.ZU;2-U
Testo completo: http://www.dt.mef.gov.it/export/sites/sitodt/modules/documenti_it/analisi_progammazione/analisi_programmazione_economico/n.-2-2008---Surveys--role-in-macroeconomic-variables-disaggregation-and-estimation.pdf

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