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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)

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    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-00461711.

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    Date of creation: Jan 2010
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    Handle: RePEc:hal:cesptp:halshs-00461711

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00461711
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    Related research

    Keywords: k-nearest neighbors method; radial basis function method; non-parametric; forecasts; GDP; Euro-area.;

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