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Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise

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Author Info

  • G. Rünstler

    (European Central Bank, Frankfurt|Main, Germany)

  • K. Barhoumi

    (Banque de France, Paris, France)

  • S. Benk

    (Magyar Nemzeti Bank, Budapest, Hungary)

  • R. Cristadoro

    (Banca d'Italia, Rome, Italy)

  • A. Den Reijer

    (Sveriges Riksbank, Stockholm, Sweden)

  • A. Jakaitiene

    (Institute of Mathematics and Informatics, Vilnius, Lithuania)

  • P. Jelonek

    (Narodowy Bank Polski, Warsaw, Poland)

  • A. Rua

    (Banco de Portugal, Lisbon, Portugal)

  • K. Ruth

    (Deutsche Bundesbank, Frankfurt, Germany)

  • C. Van Nieuwenhuyze

    (National Bank of Belgium, Brussels, Belgium)

Abstract

This paper performs a large-scale forecast evaluation exercise to assess the performance of different models for the short-term forecasting of GDP, resorting to large datasets from ten European countries. Several versions of factor models are considered and cross-country evidence is provided. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we find that factor models perform best and models that exploit monthly information outperform models that use purely quarterly data. However, the improvement over the simpler, quarterly models remains contained. Copyright © 2009 John Wiley & Sons, Ltd.

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Bibliographic Info

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

Volume (Year): 28 (2009)
Issue (Month): 7 ()
Pages: 595-611

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Handle: RePEc:jof:jforec:v:28:y:2009:i:7:p:595-611

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

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Cited by:
  1. Francisco Craveiro Dias & Maximiano Pinheiro & António Rua, 2014. "Forecasting Portuguese GDP with factor models," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  2. Lahiri, Kajal & Monokroussos, George, 2013. "Nowcasting US GDP: The role of ISM business surveys," International Journal of Forecasting, Elsevier, vol. 29(4), pages 644-658.
  3. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
  4. Bessec, M., 2012. "Short-term forecasts of French GDP: a dynamic factor model with targeted predictors," Working papers 409, Banque de France.
  5. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in Real-Time: A Density Combination Approach," Working Papers 0003, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  6. Alessandro Borin & Riccardo Cristadoro & Roberto Golinelli & Giuseppe Parigi, 2012. "Forecasting world output: the rising importance of emerging economies," Temi di discussione (Economic working papers) 853, Bank of Italy, Economic Research and International Relations Area.
  7. Esteves, Paulo Soares, 2013. "Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice," Economic Modelling, Elsevier, vol. 33(C), pages 416-420.
  8. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank, Research Department.
  9. João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers w200819, Banco de Portugal, Economics and Research Department.
  10. Anna Norin, 2011. "Nowcasting of the Gross Regional Product," ERSA conference papers ersa10p768, European Regional Science Association.
  11. Paulo Soares Esteves & António Rua, 2012. "Short-term forecasting for the portuguese economy: a methodological overview," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  12. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting industrial production: the role of information and methods," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 227-235 Bank for International Settlements.
  13. Roman Horvath, 2012. "Do Confidence Indicators Help Predict Economic Activity? The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 398-412, November.
  14. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
  15. Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers 11/90, National Institute of Public Finance and Policy.
  16. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.

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