A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques
AbstractThe 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 InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00460472.
Date of creation: 2010
Date of revision:
Publication status: Published, Economics Bulletin, 2010, 30, 1, 508-518
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00460472
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Multivariate k-Nearest Neighbor; Radial Basis Functions; Non-Parametric Forecasts; Economic indicators; GDP; Euro area;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-20 (All new papers)
- NEP-ECM-2010-03-20 (Econometrics)
- NEP-EEC-2010-03-20 (European Economics)
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.:
- Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00423871, HAL.
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- 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.
- Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
- Marcellino, Massimiliano & Schumacher, Christian, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers 6708, C.E.P.R. Discussion Papers.
- 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.
- Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 0622, European Central Bank.
- Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June.
- 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.
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- repec:hal:journl:halshs-00511979 is not listed on IDEAS
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