A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques
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
|Date of creation:||Jan 2010|
|Date of revision:|
|Contact details of provider:|| Postal: 106-112 boulevard de l'Hôpital 75 647 PARIS CEDEX 13|
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://centredeconomiesorbonne.univ-paris1.fr/
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.:
- Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June.
- 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.
- Marcellino, Massimiliano & Schumacher, Christian, 2008.
"Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP,"
CEPR Discussion Papers
6708, C.E.P.R. Discussion Papers.
- 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, Research Centre.
- Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
- Dominique Guegan & Patrick Rakotomarolahy, 2009.
"The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting,"
Documents de travail du Centre d'Economie de la Sorbonne
09050, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Dec 2009.
- 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.
- 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.
- Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 0622, European Central Bank.
- repec:ebl:ecbull:v:3:y:2008:i:32:p:1-8 is not listed on IDEAS
- 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.
When requesting a correction, please mention this item's handle: RePEc:mse:cesdoc:10013. 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: (Lucie Label)
If references are entirely missing, you can add them using this form.