Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating
We suggest to use a factor model based backdating procedure to construct historical Euro-area macroeconomic time series data for the pre-Euro period. We argue that this is a useful alternative to standard contemporaneous aggregation methods. The paper investigates for a number of Euro-area variables whether forecasts based on the factor-backdated data are more precise than those obtained with standard area-wide data. A recursive pseudo-out-of-sample forecasting experiment using quarterly data is conducted. Our results suggest that some key variables (e.g. real GDP, inflation and long-term interest rate) can indeed be forecasted more precisely with the factor-backdated data.
|Date of creation:||02 Aug 2012|
|Date of revision:|
|Contact details of provider:|| Postal: D-78457 Konstanz|
Web page: http://www.wiwi.uni-konstanz.de/fb
More information through EDIRC
|Order Information:||Web: http://www.wiwi.uni-konstanz.de/fb|
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.:
- Marcellino, Massimiliano, 2002.
"Forecasting EMU Macroeconomic Variables,"
CEPR Discussion Papers
3529, C.E.P.R. Discussion Papers.
- Clements, Michael P. & Hendry, David F., 1996.
"Multi-Step Estimation for Forecasting,"
The Warwick Economics Research Paper Series (TWERPS)
447, University of Warwick, Department of Economics.
- Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2008.
"Forecasting euro area variables with German pre-EMU data,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 27(6), pages 465-481.
- Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," Economics Working Papers ECO2006/30, European University Institute.
- Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," SFB 649 Discussion Papers SFB649DP2006-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Heather M. Anderson & Mardi Dungey & Denise R Osborn & Farshid Vahid, 2010.
"Financial Integration and the Construction of Historical Financial Data for the Euro Area,"
Centre for Growth and Business Cycle Research Discussion Paper Series
152, Economics, The Univeristy of Manchester.
- Anderson, Heather M. & Dungey, Mardi & Osborn, Denise R. & Vahid, Farshid, 2011. "Financial integration and the construction of historical financial data for the Euro Area," Economic Modelling, Elsevier, vol. 28(4), pages 1498-1509, July.
- Helmut Lütkepohl & Ralf Brüggemann, 2006.
"A small monetary system for the euro area based on German data,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(6), pages 683-702.
- Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute.
- Jushan Bai & Serena Ng, 2000.
"Determining the Number of Factors in Approximate Factor Models,"
Boston College Working Papers in Economics
440, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Jean Boivin & Serena Ng, 2003.
"Are More Data Always Better for Factor Analysis?,"
NBER Working Papers
9829, National Bureau of Economic Research, Inc.
- David Hendry & Jurgen Doornik, 2000.
"Constructing Historical Euro-Zone Data,"
Economics Series Working Papers
4, University of Oxford, Department of Economics.
- Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207, December.
- Fagan, Gabriel & Henry, Jerome & Mestre, Ricardo, 2005. "An area-wide model for the euro area," Economic Modelling, Elsevier, vol. 22(1), pages 39-59, January.
- Angelini, Elena & Marcellino, Massimiliano, 2007.
"Econometric analyses with backdated data: unified Germany and the euro area,"
Working Paper Series
0752, European Central Bank.
- Angelini, Elena & Marcellino, Massimiliano, 2011. "Econometric analyses with backdated data: Unified Germany and the euro area," Economic Modelling, Elsevier, vol. 28(3), pages 1405-1414, May.
- Andreas Beyer & Katarina Juselius, 2008. "Does it Matter How to Measure Aggregates? The Case of Monetary Transmission Mechanisms in the Euro Area," Discussion Papers 08-07, University of Copenhagen. Department of Economics.
- Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2004.
"Interpolation and Backdating with A Large Information Set,"
CEPR Discussion Papers
4533, C.E.P.R. Discussion Papers.
- Angelini, Elena & Henry, Jerome & Marcellino, Massimiliano, 2006. "Interpolation and backdating with a large information set," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2693-2724, December.
- Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2003. "Interpolation and backdating with a large information set," Working Paper Series 0252, European Central Bank.
- Bosker, E.M., 2006. "On the aggregation of eurozone data," Economics Letters, Elsevier, vol. 90(2), pages 260-265, February.
When requesting a correction, please mention this item's handle: RePEc:knz:dpteco:1215. 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: (Dr. Lisa Green)
If references are entirely missing, you can add them using this form.