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.
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- repec:ebl:ecbull:v:3:y:2008:i:32:p:1-8 is not listed on IDEAS
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CEPR Discussion Papers
6708, C.E.P.R. Discussion Papers.
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"The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- 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.
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- 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.
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