Short-term estimates of euro area real GDP by means of monthly data
The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide useful information for predicting euro area real GDP growth over the current and the next quarter. In particular, we investigate the performance of the equations under the case that the monthly indicators are only partially available within the quarter. For this purpose, we use time series models to forecast the missing observations of monthly indicators. We then examine GDP forecasts under different amounts of monthly information. We find that already a limited amount of monthly information improves the predictions for current-quarter GDP growth to a considerable extent, compared with ARIMA forecasts. JEL Classification: C22, C53
|Date of creation:||Sep 2003|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Web page: http://www.ecb.europa.eu/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francis X. Diebold & Lutz Kilian, 1999.
"Unit Root Tests Are Useful for Selecting Forecasting Models,"
NBER Working Papers
6928, National Bureau of Economic Research, Inc.
- Diebold, Francis X & Kilian, Lutz, 2000. "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 265-73, July.
- Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests are Useful for Selecting Forecasting Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-063, New York University, Leonard N. Stern School of Business-.
- Hubrich, Kirstin, 2005.
"Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?,"
International Journal of Forecasting,
Elsevier, vol. 21(1), pages 119-136.
- Hubrich, Kirstin, 2003. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series 0247, European Central Bank.
- Kirstin Hubrich, 2004. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004 230, Society for Computational Economics.
- Irac, D. & Sédillot, F., 2002. "Short-Run Assessment of French Economic Activity Using OPTIM," Working papers 88, Banque de France.
- 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.
- 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, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research and International Relations Area.
- Bodo, G. & Golinelli, R. & Parigi, G., 2000.
"Forecasting Industrial Production in the Euro Area,"
370, Banca Italia - Servizio di Studi.
- Giuseppe Parigi & Roberto Golinelli & Giorgio Bodo, 2000. "Forecasting industrial production in the Euro area," Empirical Economics, Springer, vol. 25(4), pages 541-561.
- 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.
- Mourougane, Annabelle & Roma, Moreno, 2002.
"Can confidence indicators be useful to predict short term real GDP growth?,"
Working Paper Series
0133, European Central Bank.
- Annabelle Mourougane & Moreno Roma, 2003. "Can confidence indicators be useful to predict short term real GDP growth?," Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 519-522.
- Andrews, Rick L, 1994. "Forecasting Performance of Structural Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 129-33, January.
- Lucrezia Reichlin & Mario Forni & Marc Hallin & Marco Lippi, 2001.
"Coincident and leading indicators for the Euro area,"
ULB Institutional Repository
2013/10137, ULB -- Universite Libre de Bruxelles.
- Forni, Mario, et al, 2001. "Coincident and Leading Indicators for the Euro Area," Economic Journal, Royal Economic Society, vol. 111(471), pages C62-85, May.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-44, January.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"Forecasting and conditional projection using realistic prior distribution,"
93, Federal Reserve Bank of Minneapolis.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
- M.C.J. van Rooij & A.C.J. Stokman, 2000. "Forecasting gdp growth in the US, Japan and the EU on the basis of leading indicators," WO Research Memoranda (discontinued) 636, Netherlands Central Bank, Research Department.
- Carol A. Corrado & Mark Greene, 1984. "Reducing uncertainty in short-term projections: linkage of monthly and quarterly models," Special Studies Papers 207, Board of Governors of the Federal Reserve System (U.S.).
- Dean Croushore & Tom Stark, 2000. "A real-time data set for macroeconomists: does data vintage matter for forecasting?," Working Papers 00-6, Federal Reserve Bank of Philadelphia.
- Robert Ingenito & Bharat Trehan, 1996. "Using monthly data to predict quarterly output," Economic Review, Federal Reserve Bank of San Francisco, pages 3-11.
- Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers 9609, Banco de Espa�a.
When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:20030276. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Official Publications)
If references are entirely missing, you can add them using this form.