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Introducing the EURO-STING: Short Term INdicator of Euro Area Growth

  • Maximo Camacho

    ()

    (Universidad de Murcia)

  • Gabriel Perez-Quiros

    ()

    (Banco de España)

We propose a model to compute short-term forecasts of the Euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. In this context, we provide examples that show how data revisions and data availability affect point forecasts and forecast uncertainty.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/08/Fic/dt0807e.pdf
File Function: First version, April 2008
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Paper provided by Banco de España & Working Papers Homepage in its series Working Papers with number 0807.

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Length: 45 pages
Date of creation: Apr 2008
Date of revision:
Handle: RePEc:bde:wpaper:0807
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Web page: http://www.bde.es/bde/en/secciones/informes/Publicaciones_se/docs/
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  16. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
  17. Banbura, Marta & Rünstler, Gerhard, 2007. "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series 0751, European Central Bank.
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  19. Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO.
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  21. Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gian Luigi & Proietti, Tommaso, 2008. "A Monthly Indicator of the Euro Area GDP," CEPR Discussion Papers 7007, C.E.P.R. Discussion Papers.
  22. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010. "Survey data as coincident or leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
  23. Altavilla, Carlo & Ciccarelli, Matteo, 2007. "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series 0846, European Central Bank.
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  25. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
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  28. S. Boragan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 319-340, 03.
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