I'm trying to build a dynamic factor model and I came across with this presentation, which shows how to estimate a nowcasting model with mixed frequencies.
I'd highly appreciate if anyone could help me with a number of doubts (code and data attached):
1. In this presentation and other papers, it is said that the estimation is done in two steps (get the factor and then regress gdp against the factor).
Does this mean in Stata that I should first estimate my model (dfactor), get the unobserved factor (predict factor) and then regress GDP against the factor?
2. If I have data until July 2018, how can I map this into a GDP forecast of 3Q 2018? Should I regress GDP against moving averages of the factor?
3. What if I have data until July 2018 on all variables and industrial production for August is released: is it possible to update the forecast? how?
Thanks a lot for your help!
I'm attaching a very basic code and data for the Mexican economy as an example.
I'd highly appreciate if anyone could help me with a number of doubts (code and data attached):
1. In this presentation and other papers, it is said that the estimation is done in two steps (get the factor and then regress gdp against the factor).
Does this mean in Stata that I should first estimate my model (dfactor), get the unobserved factor (predict factor) and then regress GDP against the factor?
2. If I have data until July 2018, how can I map this into a GDP forecast of 3Q 2018? Should I regress GDP against moving averages of the factor?
3. What if I have data until July 2018 on all variables and industrial production for August is released: is it possible to update the forecast? how?
Thanks a lot for your help!
I'm attaching a very basic code and data for the Mexican economy as an example.
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