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Forecasting Industrial Production and the Early Detection of Turning Points

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Author Info
Giancarlo Bruno (Institute for Studies and Economic Analyses)
Claudio Lupi (Institute for Studies and Economic Analyses & Libera Università Maria SS. Assunta)

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Abstract

In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlier-robust ARIMA model used as a benchmark. We show that the use of appropriately selected leading variables allows to produce up to twelve-step ahead reliable forecasts. We show how and why the use of these forecasts can improve the estimate of a cyclical indicator and the early detection of turning points for the manufacturing sector. This is of paramount importance for short-term economic analysis.

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File URL: http://129.3.20.41/eps/em/papers/0110/0110004.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0110004.

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Length: 38 pages
Date of creation: 09 Oct 2001
Date of revision:
Handle: RePEc:wpa:wuwpem:0110004

Note: Type of Document - zipped PDF; prepared on IBM PC ; pages: 38; figures: included
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Web page: http://129.3.20.41

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Related research
Keywords: Forecasting; Forecast Encompassing; VAR Models; Industrial Production; Cyclical Indicators;

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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References listed on IDEAS
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.:
  1. Giancarlo Bruno, 2001. "Seasonal Adjustment of Italian Industrial Production Index using Tramo-Seats," ISAE Working Papers 18, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  2. Giorgio Bodo & Roberto Golinelli & Giuseppe Parigi, 2000. "Forecasting Industrial Production in the Euro Area," Temi di discussione (Economic working papers) 370, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  3. Herman Bierens & Shingyi Guo, 1993. "Testing stationarity and trend stationarity against the unit root hypothesis," Econometric Reviews, Taylor and Francis Journals, vol. 12(1), pages 1-32. [Downloadable!] (restricted)
  4. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, 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.)

  1. Bruno Giancarlo & Edoardo Otranto, 2004. "Dating the Italian BUsiness Cycle: A Comparison of Procedures," ISAE Working Papers 41, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    Other versions:
  2. Francesca Monti, 2008. "Forecast with judgment and models," Research series 200812-2, National Bank of Belgium. [Downloadable!]
  3. Carmine Pappalardo & Gianfranco Piras, 2004. "Vector-Autoregression Approach to Forecast Italian Imports," ISAE Working Papers 42, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  4. Marco Malgarini & Patrizia Margani & Bianca Maria Martelli, 2005. "Re-engineering the ISAE manufacturing survey," ISAE Working Papers 47, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  5. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  6. Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
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