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Econometric analyses with backdated data - unified Germany and the euro area

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Author Info
Elena Angelini () (Directorate General Research, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
Massimiliano Marcellino () (IGIER, CEPR and IEP - Bocconi University, Via Sarfatti 25, 20136 Milano, Italy.)

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Abstract

In this paper we compare alternative approaches for the construction of time series of macroeconomic variables for Unified Germany prior to 1991, and then use them for the construction of corresponding time series for the euro area. The resulting series for Germany and the euro area are compared with existing ones on the basis of both descriptive statistics and results of econometric analyses conducted with the alternative time series. We find that more sophisticated time series methods for backdating can yield sizeable gains. JEL Classification: C32, C43, C82.

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Paper provided by European Central Bank in its series Working Paper Series with number 752.

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Length: 65 pages
Date of creation: May 2007
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Handle: RePEc:ecb:ecbwps:20070752

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Keywords: Backdating Factor Model Unified Germany Euro Area.

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  1. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November. [Downloadable!] (restricted)
  2. Beyer, Andreas & Doornik, Jurgen A & Hendry, David F, 2001. "Constructing Historical Euro-Zone Data," Economic Journal, Royal Economic Society, vol. 111(469), pages F102-21, February. [Downloadable!] (restricted)
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  3. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 127(1), pages 169-194, May. [Downloadable!] (restricted)
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  4. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December. [Downloadable!] (restricted)
  5. Helmut Lütkepohl & Ralf Brüggemann, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702. [Downloadable!]
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  6. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  7. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January. [Downloadable!] (restricted)
  8. Gabriel Fagan & Jérôme Henry & Ricardo Mestre, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank. [Downloadable!]
  9. Angelini, Henry, Marcellino, 2002. "interpolation with a large information set," Computing in Economics and Finance 2002 72, Society for Computational Economics. [Downloadable!]
  10. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January. [Downloadable!] (restricted)
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