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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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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/quarterly-selection-of-articles_13_2008-autumn.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Franck Sédillot & Nigel Pain, 2003. "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers 364, OECD Publishing.
    3. 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.
    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. 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.
    6. Irac, D. & Sédillot, F., 2002. "Short-Run Assessment of French Economic Activity Using OPTIM," Working papers 88, Banque de France.
    7. 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.
    8. 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.
    9. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    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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