Estimating and forecasting the euro area monthly national accounts from a dynamic factor model:
We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo r...
Gespeichert in:
| 1. Verfasser: | |
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| Weitere Verfasser: | , |
| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2010
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| Schlagworte: | |
| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Zusammenfassung: | We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time-series models and bridge equations, in forecasting growth in quarterly GDP and its components |
| Beschreibung: | 1 Online-Ressource (22 Seiten) |
| DOI: | 10.1787/jbcma-2010-5kmmsxgf2qbs |
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| spelling | Angelini, Elena Verfasser aut Estimating and forecasting the euro area monthly national accounts from a dynamic factor model Elena Angelini, Marta Banbura and Gerhard Rünstler Paris OECD Publishing 2010 1 Online-Ressource (22 Seiten) txt rdacontent c rdamedia cr rdacarrier We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time-series models and bridge equations, in forecasting growth in quarterly GDP and its components Economics Euro Area Banbura, Marta ctb Rünstler, Gerhard ctb https://doi.org/10.1787/jbcma-2010-5kmmsxgf2qbs Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Angelini, Elena Estimating and forecasting the euro area monthly national accounts from a dynamic factor model Economics Euro Area |
| title | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model |
| title_auth | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model |
| title_exact_search | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model |
| title_exact_search_txtP | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model |
| title_full | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model Elena Angelini, Marta Banbura and Gerhard Rünstler |
| title_fullStr | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model Elena Angelini, Marta Banbura and Gerhard Rünstler |
| title_full_unstemmed | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model Elena Angelini, Marta Banbura and Gerhard Rünstler |
| title_short | Estimating and forecasting the euro area monthly national accounts from a dynamic factor model |
| title_sort | estimating and forecasting the euro area monthly national accounts from a dynamic factor model |
| topic | Economics Euro Area |
| topic_facet | Economics Euro Area |
| url | https://doi.org/10.1787/jbcma-2010-5kmmsxgf2qbs |
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