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A non-parametric method to nowcast the Euro Area IPI

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Abstract

Non-parametric methods have been empirically proved to be of great interest in the statistical literature in order to forecast stationary time series, but very few applications have been proposed in the econometrics literature. In this paper, our aim is to test whether non-parametric statistical procedures based on a Kernel method can improve classical linear models in order to nowcast the Euro area manufacturing industrial production index (IPI) by using business surveys released by the European Commission. Moreover, we consider the methodology based on bootstrap replications to estimate the confidence interval of the nowcasts.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08033.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b08033.

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Length: 15 pages
Date of creation: Apr 2008
Date of revision:
Handle: RePEc:mse:cesdoc:b08033

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Keywords: Non-parametric; kernel; nowcasting; bootstrap; Euro area IPI.;

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