{"id":55309,"date":"2023-12-01T18:44:03","date_gmt":"2023-12-01T17:44:03","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/macroeconometric-forecasting-using-a-cluster-of-dynamic-factor-models\/"},"modified":"2024-11-07T06:22:33","modified_gmt":"2024-11-07T05:22:33","slug":"macroeconometric-forecasting-using-a-cluster-of-dynamic-factor-models","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/55309\/","title":{"rendered":"Macroeconometric Forecasting Using a Cluster of Dynamic Factor Models"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-55309","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"We propose a modelling approach involving a series of small-scale factor models. They are connected to each other within a cluster, whose linkages are derived from Granger-causality tests. GDP forecasts are established across the production, income and expenditure accounts within a disaggregated approach. This method merges the benefits of large-scale macroeconomic and small-scale factor models, rendering our Cluster of Dynamic Factor Models (CDFM) useful for model-consistent forecasting on a large scale. While the CDFM has a simple structure, its forecasts outperform those of a wide range of competing models and of professional forecasters. Moreover, the CDFM allows forecasters to introduce their own judgment and hence produce conditional forecasts.","onlinedate":"2020-10-27 12:00:00","lang":"English","publication_series":"","publication_date":"20201001","publication_date_year":"","publication_date_full":false,"publication_num_pages":"42","keywords":"[]","jelcodes":"[]","related_publications":"[]","pdf":385223,"zip":null,"link":"","monthly_report":true,"monthly_report_main":false,"monthly_report_volume":"","monthly_report_pages":"","monthly_report_pages_sort":"0","issue":"614","journal":"WIFO Working Papers","publisher":"","invisible":false,"external":false,"embargo_date":"2020-10-27 12:00:00","types":[44410],"research_groups":[3500],"collaboration":"","persons":[3543,3641],"persons_data":"[{\"personId\":3543,\"personName\":\"Christian Glocker\",\"organisationNames\":[]},{\"personId\":3641,\"personName\":\"Serguei Kaniovski\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.5 (Yoast SEO v26.5) - 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