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Forecasting European GNP Data through Common Factor Models and Other Procedures

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Author Info
Garcia-Ferrer, Antonio
Poncela, Pilar
Abstract

In this paper we present an extensive study of annual GNP data for five European countries. We look for intercountry dependence and analyse how the different economies interact, using several univariate ARIMA and unobserved components models and a multivariate model for the GNP incorporating all the common information among the variables. We use a dynamic factor model to take account of the common dynamic structure of the variables. This common dynamic structure can be non-stationary (i.e. common trends) or stationary (i.e. common cycles). Comparisons of the models are made in terms of the root mean square error (RMSE) for one-step-ahead forecasts. For this particular group of European countries, the factor model outperforms the remaining ones. Copyright © 2002 by John Wiley & Sons, Ltd.

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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 21 (2002)
Issue (Month): 4 (July)
Pages: 225-44
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jof:jforec:v:21:y:2002:i:4:p:225-44

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. Stefan Gerlach & Matthew S. Yiu, 2004. "A Dynamic Factor Model for Current-Quarter Estimates of Economic Activity in Hong Kong," Working Papers 162004, Hong Kong Institute for Monetary Research. [Downloadable!]
  2. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers 05-2009, Singapore Management University, School of Economics. [Downloadable!]
  3. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada. [Downloadable!]
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This page was last updated on 2009-12-10.

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