Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
利用混频动态因子模型即时预测欧洲地区经济活动
Timely information about the state of regional economies can be essential for planning, implementing and evaluating locally targeted economic policies. However, European regional accounts for output are published at an annual frequency and with a two-year delay. To obtain robust and more timely measures in a computationally efficient manner, we propose a mixed-frequency dynamic factor model that accounts for national information to produce high-frequency estimates of the…