IDEAS home Printed from https://ideas.repec.org/p/hal/pseptp/halshs-00460472.html

A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques

Author

Listed:
  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Patrick Rakotomarolahy

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

The aim of this paper is to introduce a new methodology to forecast the monthly economic indicators used in the Gross Domestic Product (GDP) modelling in order to improve the forecasting accuracy. Our approach is based on multivariate k-nearest neighbors method and radial basis function method for which we provide new theoretical results. We apply these two methods to compute the quarter GDP on the Euro-zone, comparing our approach, with GDP obtained when we estimate the monthly indicators with a linear model, which is often used as a benchmark.

Suggested Citation

  • Dominique Guegan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," PSE-Ecole d'économie de Paris (Postprint) halshs-00460472, HAL.
    • Handle: RePEc:hal:pseptp:halshs-00460472
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00460472v1
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00460472v1/document
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. S. Yakowitz, 1987. "Nearest‐Neighbour Methods For Time Series Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(2), pages 235-247, March.
    2. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
    4. Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June.
    5. Olivier Darne, 2008. "Using business survey in industrial and services sector to nowcast GDP growth:The French case," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-8.
    6. Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423871, HAL.
    7. Marcellino, Massimiliano & Schumacher, Christian, 2007. "Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP," Discussion Paper Series 1: Economic Studies 2007,34, Deutsche Bundesbank.
    8. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
    9. Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Post-Print halshs-00423871, HAL.
    10. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Documents de travail du Centre d'Economie de la Sorbonne 10065, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00511979, HAL.
    3. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," PSE-Ecole d'économie de Paris (Postprint) halshs-00511979, HAL.
    4. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00505165, HAL.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Post-Print halshs-00460472, HAL.
    2. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques," Post-Print halshs-00461711, HAL.
    3. repec:ebl:ecbull:v:30:y:2010:i:1:p:508-518 is not listed on IDEAS
    4. Dominique Guégan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Economics Bulletin, AccessEcon, vol. 30(1), pages 508-518.
    5. Laurent Ferrara & Dominique Guégan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 186-199.
    6. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," PSE-Ecole d'économie de Paris (Postprint) halshs-00511979, HAL.
    7. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00505165, HAL.
    8. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
    9. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Post-Print halshs-00460461, HAL.
    10. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Post-Print halshs-00344839, HAL.
    11. Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Post-Print halshs-00423871, HAL.
    12. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
    13. Guido Bulligan & Massimiliano Marcellino & Fabrizio Venditti, 2012. "Forecasting economic activity with higher frequency targeted predictors," Temi di discussione (Economic working papers) 847, Bank of Italy, Economic Research and International Relations Area.
    14. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00511979, HAL.
    15. Lamprou, Dimitra, 2016. "Nowcasting GDP in Greece: The impact of data revisions and forecast origin on model selection and performance," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 93-102.
    16. Claudia FORONI & Massimiliano MARCELLINO, 2012. "A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables," Economics Working Papers ECO2012/07, European University Institute.
    17. Massimiliano Marcellino & Christian Schumacher, 2010. "Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 518-550, August.
    18. Bulligan, Guido & Marcellino, Massimiliano & Venditti, Fabrizio, 2015. "Forecasting economic activity with targeted predictors," International Journal of Forecasting, Elsevier, vol. 31(1), pages 188-206.
    19. Helena Rodríguez, 2014. "Un indicador de la evolución del PIB uruguayo en tiempo real," Documentos de trabajo 2014009, Banco Central del Uruguay.
    20. Jan Radovan & Igor Masten, 2025. "Nowcasting economic activity in a small open CESEE economy using mixed frequency data," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 52(4), pages 721-776, November.
    21. Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017. "The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey," Economic Modelling, Elsevier, vol. 64(C), pages 26-39.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:pseptp:halshs-00460472. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Caroline Bauer (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.