文章基本信息

标题：Financial and Real Latent factors in Forecasting Economic Time Series
其他标题：Financial and Real Latent factors in Forecasting Economic Time Series
作者：Frenda, Antonio ; Scippacercola, Sergio ; D'Ambra, Luigi 等
期刊名称：Electronic Journal of Applied Statistical Analysis
电子版ISSN：2070-5948
出版年度：2012
卷号：5
期号：3
页码：445-451
DOI：10.1285/i20705948v5n3p445
语种：English
出版社：University of Salento
摘要：In this paper we want to assess the impact of real and financial variables in estimating smoothed GDP. We implement the generalized dynamic factor model, on which Eurocoin indicator is based. We can assess that the impact of real and financial variables in estimating smoothed GDP, during the structural break in 2008, shows that the role of real data as industrial production, foreign trade, employment indexes, becomes particularly relevant in relation to that concerning financial data as money supply, spreads.
关键词：Band-pass filters; Eurocoin approach; Real time indicators