IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise

  • G. Rünstler

    (European Central Bank, Frankfurt|Main, Germany)

  • K. Barhoumi

    (Banque de France, Paris, France)

  • S. Benk

    (Magyar Nemzeti Bank, Budapest, Hungary)

  • R. Cristadoro

    (Banca d'Italia, Rome, Italy)

  • A. Den Reijer

    (Sveriges Riksbank, Stockholm, Sweden)

  • A. Jakaitiene

    (Institute of Mathematics and Informatics, Vilnius, Lithuania)

  • P. Jelonek

    (Narodowy Bank Polski, Warsaw, Poland)

  • A. Rua

    (Banco de Portugal, Lisbon, Portugal)

  • K. Ruth

    (Deutsche Bundesbank, Frankfurt, Germany)

  • C. Van Nieuwenhuyze

    (National Bank of Belgium, Brussels, Belgium)

This paper performs a large-scale forecast evaluation exercise to assess the performance of different models for the short-term forecasting of GDP, resorting to large datasets from ten European countries. Several versions of factor models are considered and cross-country evidence is provided. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we find that factor models perform best and models that exploit monthly information outperform models that use purely quarterly data. However, the improvement over the simpler, quarterly models remains contained. Copyright © 2009 John Wiley & Sons, Ltd.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1002/for.1105
File Function: Link to full text; subscription required
Download Restriction: no

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 28 (2009)
Issue (Month): 7 ()
Pages: 595-611

as
in new window

Handle: RePEc:jof:jforec:v:28:y:2009:i:7:p:595-611
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:28:y:2009:i:7:p:595-611. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

or (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.