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Indicator Models of Real GDP Growth in Selected OECD Countries

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  • Franck Sédillot
  • Nigel Pain

Abstract

Accurate and timely information on the current state of economic activity is an important requirement for the policymaking process. Delays in the publication of official statistics mean that a complete picture of economic developments within a particular period emerges only some time after that period has elapsed. The research described in this paper develops a set of econometric models that provide estimates of GDP growth for a number of major OECD countries and zones in the two quarters following the last quarter for which official data have been published. These models exploit the considerable amount of monthly conjunctural information that becomes available before the release of official national accounts data. Information is incorporated from both ‘soft’ indicators, such as business surveys, and ‘hard’ indicators, such as industrial production and retail sales, and use is made of different frequencies of data and a variety of estimation techniques. An automated procedure is ... Modèles de prévision de la croissance du PIB réel dans certains pays de l'OCDE, à l'aide d'indicateurs conjoncturels Disposer d’information précise et à jour sur la situation courante de l’économie est une exigence fondamentale dans le processus de décision économique. Les délais dans la publication des statistiques officielles signifient qu’un tableau complet des évolutions économiques au cours d’une période particulière n’est seulement disponible que quelques temps après la fin de cette période. Les travaux décrits dans cet article présentent un ensemble de modèles économétriques permettant d’estimer la croissance du PIB dans certaines grandes économies ou zones de l’OCDE à un horizon de deux trimestres après le dernier trimestre publié. Ces modèles utilisent une masse importante d’information conjoncturelle mensuelle disponible avant la publication des données officielles de comptes nationaux. Cette information provient à la fois d’indicateurs ‘mous’ comme les enquêtes d’opinion ou d’indicateur ‘durs’ comme la production industrielle ou les ventes de détail. Différentes fréquences et méthodes ...

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Bibliographic Info

Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 364.

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Date of creation: 22 Jul 2003
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Handle: RePEc:oec:ecoaaa:364-en

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Related research

Keywords: short-term economic forecasts; indicator models; bridge equations; monthly data; modèle d'indicateurs conjoncturels; données mensuelles; équation de passage; prévisions économiques à court terme;

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Cited by:
  1. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
  2. Gerit Vogt, 2004. "Prognose von Umsatz und Bruttowertschöpfung des verarbeitenden Gewerbes in Sachsen für das Jahr 2004 (Prognose der Bruttowertschöpfung des sächsischen verarbeitenden Gewerbes 2004)," ifo Dresden berichtet, Ifo Institute for Economic Research at the University of Munich, vol. 11(04), pages 23-30, 08.
  3. Barhoumi, K. & Brunhes-Lesage, V. & Ferrara, L. & Pluyaud, B. & Rouvreau, B. & Darné, O., 2008. "OPTIM: a quarterly forecasting tool for French GDP," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 31-47, Autumn.
  4. Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007. "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," Ifo Working Paper Series Ifo Working Paper No. 46, Ifo Institute for Economic Research at the University of Munich.
  5. Gilles Mourre & Michael Thiel, 2006. "Monitoring short-term labour cost developments in the European Union: which indicators to trust?," European Economy - Economic Papers 258, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  6. Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 219, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  7. Stéphanie Guichard & Elena Rusticelli, 2011. "A Dynamic Factor Model for World Trade Growth," OECD Economics Department Working Papers 874, OECD Publishing.
  8. Esteves, Paulo Soares, 2013. "Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice," Economic Modelling, Elsevier, vol. 33(C), pages 416-420.
  9. Kai Carstensen & Steffen Henzel & Johannes Mayr & Klaus Wohlrabe, 2009. "IFOCAST: Methoden der ifo-Kurzfristprognose," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(23), pages 15-28, December.
  10. Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers 222, Banque de France.
  11. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
  12. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  13. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2008. "Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 399-413.
  14. Daniel Grenouilleau, 2006. "The Stacked Leading Indicators Dynamic Factor Model: A Sensitivity Analysis of Forecast Accuracy using Bootstrapping," European Economy - Economic Papers 249, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  15. Franziska Ohnsorge & Yevgeniya, 2011. "Forecasting growth in eastern Europe and central Asia," Working Papers 137, European Bank for Reconstruction and Development, Office of the Chief Economist.

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