Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies

López Buenache, Germán

Publication:
Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies

dc.contributor.author	López Buenache, Germán
dc.contributor.department	Métodos Cuantitativos para la Economía y la Empresa
dc.date.accessioned	2023-12-21T08:47:37Z
dc.date.available	2023-12-21T08:47:37Z
dc.date.issued	2018
dc.description	©2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ This document is the Accepted version of a Published Work that appeared in final form in Review of Development Economics. To access the final edited and published work see https://doi.org/10.1111/rode.12392	es
dc.description.abstract	Developing economies usually present limitations in the availability of economic data. This constraint may affect the capacity of Dynamic Factor Models to summarize large amounts of information into latent factors that reflect macroeconomic performance. This paper addresses this issue by comparing the accuracy of two kinds of Dynamic Factor Models at GDP forecasting for six Latin American countries. Each model is based on a dataset of different dimensions: a large dataset composed of series belonging to several macroeconomic categories (Large Scale Dynamic Factor Model) and a small dataset with a few prescreened variables considered as the most representative ones (Small Scale Dynamic Factor Model). Short- term pseudo real time out-of-sample forecast of GDP growth is carried out with both models reproducing the real time situation of data accessibility derived from the publication lags of the series in each country. Results i) confirm the important role of the inclusion of latest released data in the forecast accuracy of both models, ii) show better precision of predictions based on factors with respect to autoregressive models and iii) identify the most adequate model for each country according to availability of the observed data.	es
dc.format	application/pdf	es
dc.format.extent	25	es
dc.identifier.citation	Review of Development Economics, 22: e63–e78, 2018
dc.identifier.doi	https://doi.org/10.1111/rode.12392
dc.identifier.issn	1363-6669
dc.identifier.issn	1467-9361
dc.identifier.uri	http://hdl.handle.net/10201/136840
dc.language	eng	es
dc.relation	ECO2015-70331-C2-2-R	es
dc.relation.publisherversion	https://onlinelibrary.wiley.com/doi/epdf/10.1111/rode.12392	es
dc.rights	info:eu-repo/semantics/openAccess	es
dc.subject	Factor models	es
dc.subject	Nowcast	es
dc.subject	Forecast, real time	es
dc.subject	Developing economies	es
dc.title	Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies	es
dc.type	info:eu-repo/semantics/article	es
dspace.entity.type	Publication	es