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Nowcasting the French index of industrial production: A comparison from bridge and factor models

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  • Brunhes-Lesage, Véronique
  • Darné, Olivier

Abstract

Governments and central banks need to have an accurate and timely assessment of indicators for the current month, as this is essential for providing a reliable and early analysis of the current economic situation. The index of industrial production (IIP) is probably the most important and widely analyzed monthly indicator, given the relevance of the manufacturing activity as a driver of the whole business cycle. This paper presents a series of models conceived to forecast the current French monthly IIP, based on regression models and dynamic factor models. The combination of these two approaches allows selecting economically relevant explanatory variables among a large data set. In addition, a rolling forecast study is carried out to assess the forecasting performance of the estimated models, using predictive ability and model confidence set tests. This latter allows getting several models displaying equivalent forecasting performance and therefore gives robustness to the forecasting exercise rather than to base the forecasting analysis only on one model.

Suggested Citation

  • Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  • Handle: RePEc:eee:ecmode:v:29:y:2012:i:6:p:2174-2182 DOI: 10.1016/j.econmod.2012.04.011
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    Cited by:

    1. repec:eee:ecmode:v:64:y:2017:i:c:p:26-39 is not listed on IDEAS
    2. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
    3. Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017. "The role of indicator selection in nowcasting euro-area GDP in pseudo-real time," Empirical Economics, Springer, pages 79-99.
    4. Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017. "The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey," Economic Modelling, Elsevier, vol. 64(C), pages 26-39.

    More about this item

    Keywords

    Index of industrial production; Nowcasting; ARDL models; Factor models;

    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
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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