Title: Nowcasting disaggregated trade and real activity: a DFM approach
Authors: Jan Bruha - CNB (Czech Republic) [presenting]
Abstract: An empirical model for nowcasting external trade and real activity is introduced. The model is based on model-based trend-cyclical decomposition of time series and the cyclical components are specified using a dynamic principal component model. We propose a stochastic EM algorithm to estimate the model parameters. The proposed approach is illustrated on data of selected Central European countries.