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OPTIM: a quarterly forecasting tool for French GDP

Author

Listed:
  • Barhoumi, K.
  • Brunhes-Lesage, V.
  • Ferrara, L.
  • Pluyaud, B.
  • Rouvreau, B.
  • Darné, O.

Abstract

The OPTIM model helps to forecast each month the growth rate of French GDP and its main components for the coincident quarter and the quarter ahead. The model uses a wide range of monthly macroeconomic data and survey data, selected by an automatic statistical procedure.

Suggested Citation

  • 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.
    • Handle: RePEc:bfr:quarte:2008:13:03
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    References listed on IDEAS

    as
    1. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
    2. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2003. "Do financial variables help forecasting inflation and real activity in the euro area?," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1243-1255, September.
    3. Franck Sédillot & Nigel Pain, 2003. "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers 364, OECD Publishing.
    4. Christian Schumacher, 2007. "Forecasting German GDP using alternative factor models based on large datasets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 271-302.
    5. Irac, D. & Sédillot, F., 2002. "Short-Run Assessment of French Economic Activity Using OPTIM," Working papers 88, Banque de France.
    6. Banbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
    7. 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.
    8. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
    9. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    10. Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 622, European Central Bank.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    GDP forecasting; bridge model; general-to-specifi c approach (Gets).;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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