| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9191 |
| DP9191 Can we use seasonally adjusted indicators in dynamic factor models? | |
| Gabriel Pérez-Quirós; Máximo Camacho | |
| 发表日期 | 2012-10-28 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We examine the short-term performance of two alternative approaches of forecasting from dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the non seasonally adjusted data in a model that endogenously accounts for seasonal adjustment. Our Monte Carlo analysis reveals that the performance of the former is always comparable to or even better than that of the latter in all the simulated scenarios. Our results have important implications for the factor models literature because they show the that the common practice of using seasonally adjusted data in this type of models is very accurate in terms of forecasting ability. Using five coincident indicators, we illustrate this result for US data. |
| 主题 | International Macroeconomics |
| 关键词 | Factor models Seasonal adjustment Short-term forecasting |
| URL | https://cepr.org/publications/dp9191 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538026 |
| 推荐引用方式 GB/T 7714 | Gabriel Pérez-Quirós,Máximo Camacho. DP9191 Can we use seasonally adjusted indicators in dynamic factor models?. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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