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Forecasting Industrial Production in the Euro Area

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Author Info
Bodo, G.
Golinelli, R.
Parigi, G.

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Abstract

The creation of the Euro area has increased the importance of obtaining timely information about short-term changes in the area's real activity. In this paper we propose a number of alternative short-term forecasting models, ranging from simple ARIMA models to more complex cointegrated VAR and conditional models, to forecast the index of industrial production for the area is explained by the US industrial production index and the business confidence index from the European Commission harmonised survey on manufacturing firms achieves the best score in terms of forecasting capacity.

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Publisher Info
Paper provided by Banca Italia - Servizio di Studi in its series Papers with number 370.

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Length: 39 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:banita:370

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Postal: Banca d'Italia-Servizio Studi-Divisione Biblioteca e Pubblicazioni - Via N azionale, 91 -00184 Rome, Italy.
Web page: http://www.bancaditalia.it/
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Related research
Keywords: FORECASTS ; INDUSTRIAL PRODUCTION ; BUSINESS MANAGEMENT;

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Find related papers by JEL classification:
M11 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Production Management
M10 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - General

References listed on IDEAS
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.:

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    Other versions:
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    Other versions:
  8. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June. [Downloadable!] (restricted)
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    Other versions:
  16. Franses, Philip Hans & Kleibergen, Frank, 1996. "Unit roots in the Nelson-Plosser data: Do they matter for forecasting?," International Journal of Forecasting, Elsevier, vol. 12(2), pages 283-288, June. [Downloadable!] (restricted)
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    Other versions:
  19. Hans Franses, Philip & Koehler, Anne B., 1998. "A model selection strategy for time series with increasing seasonal variation," International Journal of Forecasting, Elsevier, vol. 14(3), pages 405-414, September. [Downloadable!] (restricted)
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Full references

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. Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04. [Downloadable!] (restricted)
    Other versions:
  2. Hwee Kwan Chow & Keen Meng Choy, 2004. "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Departmental Working Papers wp0407, National University of Singapore, Department of Economics. [Downloadable!]
    Other versions:
  3. Bruno, Giancarlo & Lupi, Claudio, 2003. "Forecasting Industrial Production and the Early Detection of Turning Points," Economics & Statistics Discussion Papers esdp03004, University of Molise, Dept. SEGeS. [Downloadable!]
    Other versions:
  4. Gerhard Rünstler & Franck Sédillot, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 276, European Central Bank. [Downloadable!]
  5. Ece Oral & Dilara Ece & Turknur Hamsici, 2005. "Building Up a Real Sector Business Confidence Index for Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 5(1), pages 23-54. [Downloadable!]
  6. Roberta Zizza, 2002. "Forecasting the industrial production index for the euro area through forecasts for the main countries," Temi di discussione (Economic working papers) 441, Bank of Italy, Economic Research Department. [Downloadable!]
  7. 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!]
  8. Riccardo Cristadoro & Roberto Sabbatini, 2000. "The Seasonal Adjustment of the harmonised Index of Consumer Prices for the Euro Area: a Comparison of Direct and Indirect Methods," Temi di discussione (Economic working papers) 371, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  9. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research Department. [Downloadable!]
  10. Paola Caselli & Patrizio Pagano & Fabiano Schivardi, 2000. "Investment and Growth in Europe and in the United States in the Nineties," Temi di discussione (Economic working papers) 372, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
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