Can we use seasonally adjusted indicators in dynamic factor models?
Can we use seasonally adjusted indicators in dynamic factor models?
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St. Louis: Federal Reserve Bank of St. Louis
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English
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St. Louis: Federal Reserve Bank of St. Louis
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We examine the short-term performance of two alternative approaches of forecasting from dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the non seasonally adjusted data in a model that endogenously accounts for seasonal adju...
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Can we use seasonally adjusted indicators in dynamic factor models?
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TN_cdi_proquest_journals_1698260203
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1698260203
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https://www.proquest.com/docview/1698260203?pq-origsite=primo&accountid=13902
