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Direct vs Indirect Forecasts of Foreign Trade Unit Value Indices

Listed author(s):
  • Giancarlo Lutero

    ()

  • Marco Marini

    ()

    (Italian National Institute of Statistics)

Registered author(s):

    This paper examines the forecasting approach of foreign trade unit value indices followed in the compilation of quarterly national accounts of Italy. Total imports and exports indices are indirectly obtained from the aggregation of ARIMA forecasts of disaggregated components, derived from the program TRAMO with automatic identification options. An out-of-sample forecasting exercise is performed to validate the automatic choices made by TRAMO and to evaluate the relative performance of a direct forecasting approach of imports and exports aggregates. Also, we show how the use of international raw commodity prices can improve the forecasting accuracy of aggregate unit value indices.

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    File URL: http://www.istat.it/it/files/2011/09/2-3_2010_4.pdf
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    Article provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its journal Rivista di Statistica Ufficiale.

    Volume (Year): 12 (2010)
    Issue (Month): 2-3 (October)
    Pages: 73-96

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    Handle: RePEc:isa:journl:v:12:y:2010:i:2-3:p:73-96
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    1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Staff Working Papers 05-44, Bank of Canada.
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    6. Granger Clive W.J., 2008. "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-11, September.
    7. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
    8. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    9. Massimiliano Marcellino, 2004. "Forecast Pooling for European Macroeconomic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 91-112, 02.
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