Estimating and forecasting the euro area monthly national accounts from a dynamic factor model
AbstractWe estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time series models and bridge equations in forecasting growth in quarterly GDP and its components. JEL Classification: E37, C53
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Bibliographic InfoPaper provided by European Central Bank in its series Working Paper Series with number 0953.
Date of creation: Oct 2008
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Other versions of this item:
- Elena Angelini & Marta Banbura & Gerhard Rünstler, 2010. "Estimating and forecasting the euro area monthly national accounts from a dynamic factor model," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2010(1), pages 1-22.
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-04 (All new papers)
- NEP-CBA-2008-11-04 (Central Banking)
- NEP-ECM-2008-11-04 (Econometrics)
- NEP-EEC-2008-11-04 (European Economics)
- NEP-FOR-2008-11-04 (Forecasting)
- NEP-MAC-2008-11-04 (Macroeconomics)
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