Researcher uses dynamic factor model for ‘nowcasting’

The Deutsche Bundesbank

A working paper published by the Deutsche Bundesbank offers a new version of the dynamic factor model (DFM) that is used widely as a macroeconomic forecasting tool.

In Macroeconomic now and forecasting based on the factor error correction model using targeted mixed frequency indicators, Jeong-Ryeol Kurz-Kim adds "three refinements" to the DFM.

The author adds the mixed data sampling technique to "capture information from high frequency (monthly) indicators in order to estimate low frequency

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account