Forecasting industrial production in the Euro area
The creation of the Euro area has increased the importance of obtaining timely information about short-term changes in the area's real activity. In this paper we propose a number of alternative short term forecasting models, ranging from simple ARIMA models to more complex cointegrated VAR and conditional models, to forecast the index of industrial production in the euro area. A conditional error-correction model in which the aggregate index of industrial production for the area is explained by the US industrial production index and the business confidence index from the European Commission harmonised survey on manufacturing firms achieves the best score in terms of forecasting capacity.
Volume (Year): 25 (2000)
Issue (Month): 4 ()
|Note:||received: Jan. 2000/Final version received: March 2000|
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References listed on IDEAS
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- Baffigi, A. & Pagnini, M. & Quintiliani, F., 1999.
"Industrial Districts and Local Banks: Do the Twins Ever Meet?,"
347, Banca Italia - Servizio di Studi.
- Alberto Baffigi & Marcello Pagnini & Fabio Quintiliani, 1999. "Industrial District and Local Banks: Do the Twins Ever Meet?," Temi di discussione (Economic working papers) 347, Bank of Italy, Economic Research and International Relations Area.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August. Full references (including those not matched with items on IDEAS)
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