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Real-time GDP forecasting in the euro area

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Author Info
Alberto Baffigi () (Bank of Italy, Economic Research Department)
Roberto Golinelli (University of Bologna, Department of Economics)
Giuseppe Parigi () (Bank of Italy, Economic Research Department)

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Abstract

Quantitative information on the current state of the economy is crucial to economic policy-making, but the quarterly national accounts data for GDP in the euro area are released with a significant delay. This paper presents alternative models for the real-time forecasting of euro area GDP and assesses their performance. We estimate univariate/multivariate statistical models, bridge models (systems of autoregressive distributed lags equations with indicators) and a small structural model. The models are estimated for aggregate GDP and components both area-wide and for the three main countries. They are estimated and tested for the period 1980-1999. Data from 1999 to 2001 are used to compare the forecasting ability, gauged by rolling-origin one-step-ahead errors.

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Publisher Info
Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 456.

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Date of creation: Dec 2002
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Handle: RePEc:bdi:wptemi:td_456_02

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Related research
Keywords: short-term GDP forecast; bridge model; out-of-sample forecasting accuracy;

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paolo Angelini & Paolo Del Giovane & Stefano Siviero & Daniele Terlizzese, 2002. "Monetary Policy Rules for the Euro Area: What Role for National Information?," Temi di discussione (Economic working papers) 457, Bank of Italy, Economic Research Department. [Downloadable!]
  2. Filippo Altissimo & Alberto Locarno & Stefano Siviero, 2002. "Dealing with forward-looking expectations and policy rules in quantifying the channels of transmission of monetary policy," Temi di discussione (Economic working papers) 460, Bank of Italy, Economic Research Department. [Downloadable!]
  3. Bruno Giancarlo & Lupi Claudio, 2003. "Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data," ISAE Working Papers 33, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  4. Libero Monteforte & Stefano Siviero, 2002. "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers) 458, Bank of Italy, Economic Research Department. [Downloadable!]
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