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Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?

Author

Listed:
  • Cecilia Frale
Abstract
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.

Suggested Citation

  • Cecilia Frale, "undated". "Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?," Working Papers wp2008-2, Department of the Treasury, Ministry of the Economy and of Finance.
    • Handle: RePEc:itt:wpaper:wp2008-2
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Temporal Disaggregation. Multivariate State Space Models. Dynamic factor;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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