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 outlier-robust 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 estimate of a cyclical indicator and the early detection of turning points for the manufacturing sector. This is of paramount importance for short-term economic analysis.
|Date of creation:||09 Oct 2001|
|Note:||Type of Document - zipped PDF; prepared on IBM PC ; pages: 38; figures: included|
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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).
- J. Joseph Beaulieu & Jeffrey A. Miron, 1992.
"Seasonal Unit Roots in Aggregate U.S. Data,"
NBER Technical Working Papers
0126, National Bureau of Economic Research, Inc.
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