12-042/4 - Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis

• Authors
  Falk Brauning, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam
• Publication date
  April 20, 2012

• Keywords
  Kalman filter, Mixed frequency; Nowcasting, Principal components, State space model, Unobserved Components Time Series Model
• JEL
  C33, C53, E17