Do Surveys Help in Macroeconomic variables Disaggregation and Estimation?
نویسنده
چکیده
This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic variables at higher frequency. We propose a multivariate model which is an extension of the Stock and Watson (1991) dynamic factor model, considering more than one common factor and high-frequency cycles. The multivariate model is cast in State Space Form and the temporal aggregation constraint is convert into a problem of missing values. Un application in real time for the value added of the Industry sector in the Euro area is presented.
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