L’Indicateur Synthétique Mensuel d’Activité (ISMA) : une révision
This paper proposes new bridge equations for the Monthly Index of Business Activity (MIBA) published by the Banque de France. The MIBA is a forecasting tool for the quarterly GDP growth in France both for the current quarter and the next quarter, originally based on the surveys in the industrial sector published in the Monthly Business Survey (MBS) conducted by the Banque de France. Two improvements are suggested: first, from a technical viewpoint, we use an automatic model selection procedure which brings a robust, clear and systematic framework for selecting variables; second, from a modelling viewpoint, we take into account the business surveys in the services sector published by the Banque de France. The forecasting performance of the different models is evaluated.
|Date of creation:||2007|
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- Kevin D. Hoover & Stephen J. Perez, .
"Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search,"
Department of Economics
97-27, California Davis - Department of Economics.
- Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
- Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 9727, University of California, Davis, Department of Economics.
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- Peter Grasmann & Filip Keereman, 2001. "An indicator-based short-term forecast for quarterly GDP in the euro area," European Economy - Economic Papers 154, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Jennifer L. Castle, 2005. "Evaluating PcGets and RETINA as Automatic Model Selection Algorithms," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 837-880, December.
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