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Forecasting Industrial Production and the Early Detection of Turning Points

  • Giancarlo Bruno

    (Institute for Studies and Economic Analyses)

  • Claudio Lupi

    (Institute for Studies and Economic Analyses & Libera Università Maria SS. Assunta)

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.

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File URL: http://econwpa.repec.org/eps/em/papers/0110/0110004.pdf
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Paper provided by EconWPA in its series Econometrics with number 0110004.

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Length: 38 pages
Date of creation: 09 Oct 2001
Date of revision:
Handle: RePEc:wpa:wuwpem:0110004
Note: Type of Document - zipped PDF; prepared on IBM PC ; pages: 38; figures: included
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Giuseppe Parigi & Roberto Golinelli & Giorgio Bodo, 2000. "Forecasting industrial production in the Euro area," Empirical Economics, Springer, vol. 25(4), pages 541-561.
  2. 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.
  3. 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).
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