A factor analysis for the Spanish economy

Artikel

We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of small-scale models. The estimated common factor is used to forecast the gross domestic product by means of a transfer function model. Likewise, the model solves the operational and informational limits posed by the presence of an unbalanced panel of indicators and generates multivariate forecasts of the basic indicators.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 3 ; Year: 2012 ; Issue: 3 ; Pages: 311-338 ; Heidelberg: Springer

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Forecasting Models; Simulation Methods ; Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications ; Business Fluctuations; Cycles
• Subject: dynamic factor model ; short-term economic analysis ; Spanish economy ; Kalman filter ; transfer function ; temporal disaggregation ; forecasting ; nowcasting ; Wirtschaftswachstum ; Prognoseverfahren ; Faktorenanalyse ; Aggregation ; Zustandsraummodell ; Spanien

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Cuevas, Ángel ; Quilis, Enrique M.
• Event: Veröffentlichung
• (who): Springer
• (where): Heidelberg
• (when): 2012

Further information

• DOI: doi:10.1007/s13209-011-0060-9
• Handle: http://hdl.handle.net/10419/77743
• Last update: 10.03.2025, 11:43 AM CET