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783078;1

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5:91

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ri Exvlqhvv dqg Hfrqrplf Vwdwlvwlfv/ 44/ 69<06;31

48

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V|vwhpv/� Mrxuqdo ri Hfrqrphwulfv/ 68/ 476048<1

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qhvv dqg Hfrqrplf Vwdwlvwlfv/ 8/ 8609:1

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Dfdghplf Suhvv/ ss1 58805:;1

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Ruodqgr/ IO= Dfdghplf Suhvv1

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Exvlqhvv F|foh/� Mrxuqdo ri Dssolhg Hfrqrphwulfv/ ;/ 564057:1

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wkh Lqwhjudwlrq ri Pxowlsoh Prghov/� Mrxuqdo ri Exvlqhvv dqg Hfrqrplf

Vwdwlvwlfv/ 47/ 754075;1

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hpslulfdo H{dplqdwlrq/� Mrxuqdo ri Dssolhg Hfrqrphwulfv/ 44/ 84<086;1

49

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qdwlrqdo Jurzwk Udwhv/� Mrxuqdo ri Hfrqrphwulfv/ 89/ ;<044;1

Plwwqln/ V1 +4<<3,/ �Pdfurhfrqrplf Iruhfdvwlqj Xvlqj Srrohg Lqwhuqdwlrqdo

Gdwd/� Mrxuqdo ri Exvlqhvv dqg Hfrqrplf Vwdwlvwlfv/ ;/ 538053;1

Shôd/ G1 +4<<8,/ �Iruhfdvwlqj Jurzwk zlwk Wlph Vhulhv/� Mrxuqdo ri Iruhfdvw0

lqj/ 47/ <:04381

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Plphr/ Xqlyhuvlgdg Fduorv LLL gh Pdgulg1

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Urrwv dqg Uhgxfhg Udqn Vwuxfwxuh= Hvwlpdwlrq/ Olnholkrrg Udwlr Whvw/

dqg Iruhfdvwlqj/� Mrxuqdo ri Wlph Vhulhv Dqdo|vlv/ 46/ 68606:81

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ri wkh Dphulfdq Vwdwlvwlfdo Dvvrfldwlrq/ ;6/ 43<:0443:1

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Vsulqjhu0Yhuodj1

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73/ 4;605331

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ri Orvv Vwuxfwxuhv/� lq K1 Odklul dqg J1 Prruh +hgv1, Ohdglqj Hfrqrplf

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eulgjh Xqlyhuvlw| Suhvv/ 45<04731

4:

]hooqhu/ D1/ Krqj/ F1/ dqg Plq/ F1 +4<<4,/ �Iruhfdvwlqj Wxuqlqj Srlqwv lq Lq0

whuqdwlrqdo Rxwsxw Jurzwk Udwhv Xvlqj Ed|hvldq H{srqhqwldoo| Zhljkwhg

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qdo ri Hfrqrphwulfv/ 7</ 5:806371

]hooqhu/ D1/ dqg Plq/ F1 +4<<;,/ �Iruhfdvwlqj Wxuqlqj Srlqwv lq Frxqwulhv* Rxw0

sxw Jurzwk Udwhv= D Uhvsrqvh wr Plowrq Iulhgpdq/� Mrxuqdo ri Hfrqr0

phwulfv/ ;;/ 53605391

4;

&�'��Wdeoh 4= Exvlqhvv F|fohv Gxudwlrq dqg uhodwlrqvkls ehwzhhq h{sdqvlrqv

dqg uhfhvvlrqv= Dqqxdo Gdwd 4<7<04<<:1

Frxqwu| Qu ri Orqjhvw Vkruwhvw Qu ri Orqjhvw Vkruwhvw Dyhudjh

uhfhv uhfhvvlrq uhfhvvlrq h{s H{sdqvlrq H{sdqvlrq H{sdqvlrq

Dxvwudold 7 4 4 8 53 7 ;1;

4<830<:

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4<870<:

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4<7<0<:

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4<830<:

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4<930<:

Iudqfh 5 4 4 6 57 7 48

4<840<:

Luhodqg 6 4 4 7 57 4 4418

4<7<0<:

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4<940<:

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4<8:0<:

Qhwkhuodq1 6 4 4 7 49 4 45

4<8:0<:

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4<880<:

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4<7<0<:

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4<7<0<:

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4<7<0<:

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4<

Wdeoh 5= JQS jurzwk udwhv fruuhodwlrq pdwul{ 4<8:04<<:

DXV EHO FDQ GHQ ILQ IUD LUO LWD MDS QHW QRU VSD VZ

DXV 4

EHO 164 4

FDQ 1:6 16< 4

GHQ 15; 17< 174 4

ILQ 173 17: 174 165 4

IUD 176 1;8 188 185 187 4

LUO 139 14; 133 145 158 144 4

LWD 157 1:3 17; 174 177 1:7 145 4

MDS 167 195 173 189 173 1:: 0134 19: 4

QHW 17; 1:7 17; 18< 16< 1:5 157 187 194 4

QRU 146 146 169 175 144 143 0138 159 13; 15: 4

VSD 156 1:5 183 178 179 1;4 146 19; 19; 194 145 4

VZH 186 196 17: 176 1:6 199 143 189 193 188 155 193 4

VZL 15; 19: 169 16; 186 1:5 146 199 198 186 136 19: 18

XN 16; 15< 184 184 179 173 159 164 165 164 13< 168 17

XVD 187 159 1:7 184 14; 175 148 173 16< 173 16< 168 15

53

Wdeoh 6

UPVH iru wkh rqh0|hdu0dkhdg iruhfdvw huuruv

Iruhfdvw Shulrg= 4<;<04<<:

Prgho

DU+6, LUZ g GLDUh IPd IP e IP f

Jurxs L +J4,

DXV 5148 5145 5138 5188 5165 5165

FDQ 51:7 5195 5193 41<; 7147 7147

XN 41:5 517: 5178 41:3 4135 4135

XVD 418: 4189 419; 5135 41<: 41<:

Jurxs LL +J5,

GHQ 4164 4136 31<8 41;7 51<4 5158

ILQ 7156 8137 8135 616< 61<; 61<:

VZH 5173 5185 5187 41<9 41<5 514:

QRU 418< 4196 4173 41<4 515:

Jurxs LLL +J6,

EHO 41:< 5148 41<4 418: 415; 418<

IUD 418; 41;9 5135 417< 416< 41:4

VSD 41;4 41;9 41:5 4187 4174 4185

QHW 4158 4176 4164 417; 415< 4169

LWD 41<5 4199 4199 419< 4175 4174

VZL 41:3 4196 418< 416< 414;

MDS 41;: 41<8 41<8 4198 41;:

Rwkhu frxqwulhv

LUO 6158 51<9 51;9 71<5

Phdq 5139 514; 5144 5139 513<+4, 5138+5,

Phgldq 41;3 41<4 41<6 41:: 419:+4, 41:<+5,

Qrwhv=

+4, Phdq dqg Phgldq frpsxwhg rqo| iurp 45 frxqwulhv/ doo exw Qruzd|/

Vzlw}huodqg/ Mdsdq dqg Luhodqg1

+5, Phdq dqg Phgldq frpsxwhg iurp 48 frxqwulhv/ doo exw Luhodqg1

d Idfwru prgho iru doo frxqwulhv1

e Idfwru prgho iru wkh wkuhh edvlf jurxs ri frxqwulhv= J4 +Dxvwudold/ Fdqdgd/

XN dqg XVD,/ J5 +Ghqpdun/ Ilqodqg dqg Vzhghq, dqg J6 +Ehojlxp/ Iudqfh/ Vsdlq/

Lwdo| dqg wkh Qhwkhuodqgv,1

f Idfwru prgho iru wkh h{whqghg jurxs ri frxqwulhv= J4 gh�qhg dv lq e/ J5D

+J5.Qruzd|, dqg J6D +J6.Vzlw}huodqg.Mdsdq,1

g QYU@4 dqg dq DU+7, iru wkh f|foh zdv �wwhg iru doo frxqwulhv1

h QYU@4 dqg dq DU+5, iru wkh f|foh zdv �wwhg iru doo frxqwulhv1

54

Wdeoh 7

Phdq dqg phgldq ri wkh UPVH


Prgho

DU+6, LUZ g GLDUh IP�

J4 Phdq 5138 5163 5153 5169

Phgldq 5156 514< 5158 5148

J5 Phdq 5198 51;9 51;7 51<7

Phgldq 5173 5185 5187 51<4

J5D Phdq 516; 5189 517; 519:

Phgldq 5133 513; 41<: 5154

J6 Phdq 419: 41:< 41:5 4169

Phgldq 41:< 41;9 41:5 416<

J6D Phdq 41:3 41:< 41:6 4185

Phgldq 41;4 41;9 41:5 4185

Qrwhv=

J4 +Dxvwudold/ Fdqdgd/ XN dqg XVD,1

J5 +Ghqpdun/ Ilqodqg dqg Vzhghq,1

J6 +Ehojlxp/ Iudqfh/ Vsdlq/ Lwdo| dqg wkh Qhwkhuodqgv,1

J5D +J5.Qruzd|,1

J6D +J6.Vzlw}huodqg.Mdsdq,1


h QYU@4 dqg dq DU+h, iru wkh f|foh zdv �wwhg iru doo frxqwulhv1

- Phdq dqg phgldq ri wkh idfwru prghov �wwhg iru hdfk jurxs ri frxqwulhv1

55

Wdeoh 8



Prgho

DU+6, LUZ g GLDUh IP e JQi Z j

Jurxs LLL +J6,

EHO 41:< 5148 41<4 415; 031<:4 4;

IUD 418; 41;9 5135 416< 031;:5 49

VSD 41;4 41;9 41:5 4174 031654 54

QHW 4158 4176 4164 415< 31436 55

LWD 41<5 4199 4199 4175 041354 <�

Phdq 419: 41:< 41:5 4169

Phgldq 41:< 41;9 41:5 416<

Qrwhv=

e Idfwru prgho iru wkh jurxs ri frxqwulhv J6 +Ehojlxp/ Iudqfh/ Vsdlq/ Lwdo|

dqg wkh Qhwkhuodqgv,1



i Judqjhu dqg Qhzerog whvw wr dvvhv wkh gl�huhqfh ehwzhhq wzr iruhfdvwlqj

surfhgxuhv1 Wkh rxwfrph ri wkh whvw vkrxog eh frpsduhg zlwk d Vwxghqw w zlwk :

ghjuhhv ri iuhhgrp1

j Zlofrq{rq*v udqn whvw wr dvvhv li wkh idfwru prgho kdv d ehwwhu iruhfdvwlqj

shuirupdqfh wkdq wkh DU+6, prgho1

- Wkh rxwfrph ri wkh whvw lv rqo| vljql�fdqw iru d fulwlfdo ydoxh ri 3138 iru

Lwdo|1

56

Wdeoh 9


Iruhfdvw Shulrg= 4<;304<<:

Prgho

DU+6, LUZ g GLDUh IPd IP e IP f

Jurxs L +J4,

DXV 5165 516; 5164 51;6 5185 5185

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XN 514< 5186 5179 5189 515; 515;

XVD 5134 5178 5159 5177 5177 5177

Jurxs LL +J5,

GHQ 41;: 41;5 41:< 515: 616: 5157

ILQ 51<: 61:4 61;9 51<< 61:8 6135

VZH 41<6 41;: 41;4 41:8 513; 41<7

QRU 5133 5165 514< 5196 5163

Jurxs LLL +J6,

EHO 41<5 5133 41<4 4197 415: 416<

IUD 4197 418< 4189 4198 4185 4189

VSD 4187 418: 4183 416; 4153 417:

QHW 41:: 41:3 41:4 4199 41<8 4173

LWD 5155 41;9 41:; 41:4 417; 41::

VZL 418: 41;7 41:5 4184 4157

MDS 41:4 41:7 41:5 4195 41<4

LUO 5189 5176 5174 7168

Phdq 513; 514: 5144 5156 5156+4, 41<9+5,

Phgldq 41<: 41<7 41;9 5134 514; 41<9

Qrwhv=

+4, Phdq dqg Phgldq frpsxwhg rqo| iurp 45 frxqwulhv/ doo exw Qruzd|/

Vzlw}huodqg/ Mdsdq dqg Luhodqg1

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d Idfwru prgho iru doo frxqwulhv1

e Idfwru prgho iru wkh wkuhh edvlf jurxs ri frxqwulhv= J4 +Dxvwudold/ Fdqdgd/

XN dqg XVD,/ J5 +Ghqpdun/ Ilqodqg dqg Vzhghq, dqg J6 +Ehojlxp/ Iudqfh/ Vsdlq/

Lwdo| dqg wkh Qhwkhuodqgv,1

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+J5.Qruzd|, dqg J6D +J6.Vzlw}huodqg.Mdsdq,1



57

Wdeoh :

Phdq dqg phgldq ri wkh UPVH


Prgho

DU+6, LUZ g GLDUh IP�

J4 Phdq 516< 5189 517: 5187

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Phgldq 41<6 41;: 41;4 616:

J5D Phdq 514< 5176 5174 5146

Phgldq 41<: 5143 5133 515:

J6 Phdq 41;5 41:7 419< 417;

Phgldq 41:: 41:3 41:4 417;

J6D Phdq 41:: 41:9 41:3 4186

Phgldq 41:4 41:7 41:5 417:

Qrwhv=

J4 +Dxvwudold/ Fdqdgd/ XN dqg XVD,1

J5 +Ghqpdun/ Ilqodqg dqg Vzhghq,1

J6 +Ehojlxp/ Iudqfh/ Vsdlq/ Lwdo| dqg wkh Qhwkhuodqgv,1

J5D +J5.Qruzd|,1

J6D +J6.Vzlw}huodqg.Mdsdq,1



- Phdq dqg phgldq ri wkh idfwru prghov �wwhg iru hdfk jurxs ri frxqwulhv1

58

Wdeoh ;



Prgho

DU+6, LUZ g GLDUh IPe JQi Z j

Jurxs LLL +J6,

EHO 41<5 5133 41<4 415: 041::4� :7

IUD 4197 418< 4189 4185 031656 :3

VSD 4187 418: 4183 4153 041393 :5

QHW 41:: 41:3 41:4 41<8 3175< :;

LWD 5155 41;9 41:; 417; �4=:39�� 97

Phdq 41;5 41:7 419< 417;

Phgldq 41:: 41:3 41:4 417;

Qrwhv=

e Idfwru prgho iru wkh jurxs ri frxqwulhv J6 +Ehojlxp/ Iudqfh/ Vsdlq/ Lwdo|

dqg wkh Qhwkhuodqgv,1



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ghjuhhv ri iuhhgrp1

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shuirupdqfh wkdq wkh DU+6, prgho1

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59

0 50-0.1

0

0.1Australia

0 50-0.1

0

0.1Belgium

0 50-0.1

0

0.1Canada

0 50-0.1

0

0.1Denmark

0 20 40-0.1

0

0.1Finland

0 50-0.1

0

0.1France

0 50-0.2

0

0.2Ireland

0 20 40-0.1

0

0.1Italy

0 50-0.2

0

0.2Japan

0 50-0.2

0

0.2Netherlands

0 50-0.1

0

0.1Norway

0 50-0.5

0

0.5Spain

0 50-0.1

0

0.1Sweeden

0 50-0.1

0

0.1Switzerland

0 50-0.1

0

0.1UK

0 50-0.1

0

0.1USA

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Forecasting European GNP data through common factor models and other procedures

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