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Survey data as coincident or leading indicators

Listed author(s):
  • Cecilia Frale

    (Ministry of the Economy and Finance, Rome, Italy)

  • Massimiliano Marcellino
  • Gian Luigi Mazzi

    (Eurostat, Luxembourg)

  • Tommaso Proietti

    (Università di Roma 'Tor Vergata', Rome, Italy)

In this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small-scale factor model for mixed-frequency data, featuring two factors: the first is driven by hard data, whereas the second captures the contribution of survey variables as coincident indicators. Within this framework we evaluate both the in-sample contribution of the second survey-based factor, and the short-term forecasting performance of the model in a pseudo-real-time experiment. We find that the survey-based factor plays a significant role for two components of GDP: industrial value added and exports. Moreover, the two-factor model outperforms in terms of out-of-sample forecasting accuracy the traditional autoregressive distributed lags (ADL) specifications and the single-factor model, with few exceptions. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1142
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 1-2 ()
Pages: 109-131

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Handle: RePEc:jof:jforec:v:29:y:2010:i:1-2:p:109-131
DOI: 10.1002/for.1142
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
  2. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
  3. Pesaran, M. Hashem & Weale, Martin, 2006. "Survey Expectations," Handbook of Economic Forecasting, Elsevier.
  4. Alex S. Morton & Granville Tunnicliffe-Wilson, 2004. "A class of modified high-order autoregressive models with improved resolution of low-frequency cycles," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 235-250, 03.
  5. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
  6. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
  7. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  8. Tommaso Proietti & Cecilia Frale, 2011. "New proposals for the quantification of qualitative survey data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(4), pages 393-408, July.
  9. Andrew Harvey & Chia-Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309.
  10. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
  11. Tommaso Proietti & Filippo Moauro, 2006. "Dynamic factor analysis with non-linear temporal aggregation constraints," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 281-300.
  12. Filippo Moauro & Giovanni Savio, 2005. "Temporal disaggregation using multivariate structural time series models," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 214-234, 07.
  13. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
  14. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
  15. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
  16. Harvey, Andrew & Proietti, Tommaso (ed.), 2005. "Readings in Unobserved Components Models," OUP Catalogue, Oxford University Press, number 9780199278695.
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