An automatic leading indicator of economic activity: forecasting GDP growth for European countries
AbstractIn the construction of a leading indicator model of economic activity, economists must select among a pool of variables which lead output growth. Usually the pool of variables is large and a selection of a subset must be carried out. This paper proposes an automatic leading indicator model which, rather than preselection, uses a dynamic factor model to summarize the information content of a pool of variables. Results using quarterly data for France, Germany, Italy and the United Kingdom show that the overall forecasting performance of the automatic leading indicator model appears better than that of more traditional VAR and BVAR models.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 4 (2001)
Issue (Month): 1 ()
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- Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth, 2010.
"Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators,"
2010/12, Czech National Bank, Research Department.
- Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 566-583, December.
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