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-00461711.
Date of creation: Jan 2010
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k-nearest neighbors method; radial basis function method; non-parametric; forecasts; GDP; Euro-area.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-20 (All new papers)
- NEP-CBA-2010-03-20 (Central Banking)
- NEP-FOR-2010-03-20 (Forecasting)
- NEP-MAC-2010-03-20 (Macroeconomics)
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