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A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques

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  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Patrick Rakotomarolahy

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Abstract

The aim of this paper is to introduce a new methodology to forecast the monthly economic indicators used in the Gross Domestic Product (GDP) modelling in order to improve the forecasting accuracy. Our approach is based on multivariate k-nearest neighbors method and radial basis function method for which we provide new theoretical results. We apply these two methods to compute the quarter GDP on the Euro-zone, comparing our approach, with GDP obtained when we estimate the monthly indicators with a linear model, which is often used as a benchmark.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00460472.

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Date of creation: 2010
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Publication status: Published, Economics Bulletin, 2010, 30, 1, 508-518
Handle: RePEc:hal:cesptp:halshs-00460472

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00460472
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Related research

Keywords: Multivariate k-Nearest Neighbor; Radial Basis Functions; Non-Parametric Forecasts; Economic indicators; GDP; Euro area;

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  1. Marcellino, Massimiliano & Schumacher, Christian, 2007. "Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP," Discussion Paper Series 1: Economic Studies 2007,34, Deutsche Bundesbank, Research Centre.
  2. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
  3. Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Documents de travail du Centre d'Economie de la Sorbonne 09050, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Dec 2009.
  4. repec:ebl:ecbull:v:3:y:2008:i:32:p:1-8 is not listed on IDEAS
  5. Olivier Darne, 2008. "Using business survey in industrial and services sector to nowcast GDP growth:The French case," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-8.
  6. Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June.
  7. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
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  1. repec:hal:journl:halshs-00505165 is not listed on IDEAS
  2. repec:hal:journl:halshs-00511979 is not listed on IDEAS

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