Forecasting Euro Area Real GDP: Optimal Pooling of Information
This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of information approach outperforms alternative forecasting methods in terms of forecast accuracy.
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- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2005.
"Leading Indicators for Euro-area Inflation and GDP Growth,"
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- Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
- Massimiliano Marcellino & James H. Stock & Mark W. Watson, "undated". "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Anna Stangl, 2007. "World Economic Survey," Chapters,in: Handbook of Survey-Based Business Cycle Analysis, chapter 5 Edward Elgar Publishing. Full references (including those not matched with items on IDEAS)
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