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Real-time GDP forecasting in the euro area

  • Alberto Baffigi

    ()

    (Bank of Italy, Economic Research Department)

  • Roberto Golinelli

    (University of Bologna, Department of Economics)

  • Giuseppe Parigi

    ()

    (Bank of Italy, Economic Research Department)

Quantitative information on the current state of the economy is crucial to economic policy-making, but the quarterly national accounts data for GDP in the euro area are released with a significant delay. This paper presents alternative models for the real-time forecasting of euro area GDP and assesses their performance. We estimate univariate/multivariate statistical models, bridge models (systems of autoregressive distributed lags equations with indicators) and a small structural model. The models are estimated for aggregate GDP and components both area-wide and for the three main countries. They are estimated and tested for the period 1980-1999. Data from 1999 to 2001 are used to compare the forecasting ability, gauged by rolling-origin one-step-ahead errors.

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Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 456.

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Date of creation: Dec 2002
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Handle: RePEc:bdi:wptemi:td_456_02
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