A disaggregation using a Dynamic Factor Model

What is it about?

Using mixed frequencies data to disaggregate data at lower frequencies. It takes into account the comovement of data .

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Why is it important?

There are significant potential gains from developing estimates for GDP at higher frequencies. GDPs at higher frequencies capture certain facets of the business cycle. Then, policymakers will be able to measure the economic growth at higher frequencies. Similarly, the matter of the tradeoff between data that are timely and data that are comprehensive will be solved throughout the empirical business cycle analysis. Beyond that, the available disaggregated GDP is consistent with the aggregated data and the stylized facts of business cycle.

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