Forecasting Industrial Production and the Early Detection of Turning POints
In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlierrobust ARIMA model used as a benchmark. We show that the use of appropriately selected leading variables allows to produce up to twelve-step ahead reliable forecasts. We show how and why the use of these forecasts can improve the estimation of a cyclical indicator and the early detection of turning points for the manufacturing sector. This is of paramount importance for shortterm economic analysis.
|Date of creation:||Jun 2001|
|Date of revision:|
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- Giuseppe Parigi & Roberto Golinelli & Giorgio Bodo, 2000.
"Forecasting industrial production in the Euro area,"
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.
- Bodo, G. & Golinelli, R. & Parigi, G., 2000. "Forecasting Industrial Production in the Euro Area," Papers 370, Banca Italia - Servizio di Studi.
- Giancarlo Bruno, 2001. "Seasonal Adjustment of Italian Industrial Production Index using Tramo-Seats," ISAE Working Papers 18, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data,"
Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 305-328.
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