纽约联储：基于组件的动态因子实时预测模型（英文版）

In this paper, we propose a component-based dynamic factor model for nowcasting GDP growth. We combine ideas from “bottom-up” approaches, which utilize the national income accounting identity through modelling and predicting sub-components of GDP, with a dynamic factor (DF) model, which is suitable for dimension reduction as well as parsimonious real-time monitoring of the economy. The advantages of the new model are twofold: (i) in contrast to existing dynamic factor models, it respects the GDP