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WIFO publications and research project papers(67 hits)

Jürgen Bierbaumer-Polly, Sandra Bilek-Steindl, Marcus Scheiblecker, Nowcasting Economic Activity Using Large-Scale Dynamic Factor Models with Regional Block-Structure. An Application for the Austrian Economy

Reports (work in progress), January 2018
We propose a hierarchical four-level dynamic factor model (DFM) for now- and forecasting the quarterly Austrian GDP. In the model, the business cycle dynamics are defined not only by common, but also by block and subblock specific factors. These factors are related to domestic versus international data origin, as well as to characteristics according to Austria's regional structure (manufacturing vs. services dominated). While the dynamics in the national GDP growth are mainly determined by common shocks, a considerable part of the variation in the regional data can be explained by the subblock specific factors. In a "pseudo" real-time forecasting exercise we show that our proposed model outperforms a standard two-level DFM. To deal with missing observations at the beginning/end of the dataset we apply the expectation maximisation (EM) procedure to obtain a balanced data panel. The outcome of this are, i.a., backcasts of the quarterly Austrian GDP series which seem to fit the real-time estimates reasonably well. In a real-time setting, this backcast can give an early (approximately t+15 days) indication of quarterly GDP growth, with its first official release (Flash estimates) published at t+30.
Report to the "Jubiläumsfonds der Oesterreichischen Nationalbank", Grant No 15999 • Project Co-ordinator: Peter Mayerhofer
 
Commissioned by: Supported by the Anniversary Fund of the Oesterreichische Nationalbank
Study by: Austrian Institute of Economic Research

Jürgen Bierbaumer-Polly, Sandra Bilek-Steindl, Quarterly National Accounts – Manual for Austria. Description of Applied Methods and Data Sources

Monographs, April 2017, 42 pages
   
The Austrian Institute of Economic Research (WIFO) has compiled the official Austrian Quarterly National Accounts since many years. This publication reflects the current state of the Austrian QNA compilation framework, covering both the QNA Flash Estimates (released at the end of the first month following the reference quarter) and the regular release (published at the end of the second month following the reference quarter).
 
Commissioned by: Statistics Austria
Study by: Austrian Institute of Economic Research
Online since: 10.05.2017 0:00
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