Forecast Evaluation of European Commission Survey Indicators
AbstractThis study examines the contribution of several survey indicators published by the European Commission to forecasting overall economic activity in the euro area. It entails a quantitative evaluation of the information content of seven composite indicators with regard to GDP growth. A preliminary analysis looks at the stationarity and correlation properties of the variables. Based on bivariate VAR-models and the notion of forecast improvement, the methodological approach is two-fold: In a first step, the focussed relations are studied from an ex post perspective. Employing standard and individual Granger-causality tests, an initial assessment of the mean predictive content of the indicators is provided.
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Bibliographic InfoArticle provided by OECD Publishing,CIRET in its journal Journal of Business Cycle Measurement and Analysis.
Volume (Year): 2005 (2005)
Issue (Month): 2 ()
Business Cycle; Confidence Indicators; Forecasting; Forecast Evaluation;
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