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Forecasting Industrial Production in the Euro Area

Author

Listed:
  • Giorgio Bodo

    (Fiat)

  • Roberto Golinelli

    (University of Bologna)

  • Giuseppe Parigi

    (Bank of Italy, Research Department)

Abstract

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.

Suggested Citation

  • Giorgio Bodo & Roberto Golinelli & Giuseppe Parigi, 2000. "Forecasting Industrial Production in the Euro Area," Temi di discussione (Economic working papers) 370, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_370_00
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    References listed on IDEAS

    as
    1. Baffigi, A. & Pagnini, M. & Quintiliani, F., 1999. "Industrial Districts and Local Banks: Do the Twins Ever Meet?," Papers 347, Banca Italia - Servizio di Studi.
    2. 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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    More about this item

    JEL classification:

    • M11 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Production Management
    • M10 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - General

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