Loredana Federico

Using Factors Models to Construct New Indicators of the Economic Activity in Austria, Germany and Italy

In our work, factor estimation using principal component analysis is used to obtain consistent estimates of monthly economic activity indices for Italy, Austria and Germany. The production of these indices gives an answer to the need of representing and communicating, in a very concise but precise way, where the economic cycle stands at the most up-to-date in time. An EM algorithm is used to estimate missing observations at each time, by using the factors of the balanced panel in order to extract factors from an unbalanced panel.

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