Estimating and forecasting the euro area monthly national accounts from a dynamic factor model
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...

Full description

Saved in:
Bibliographic Details
Main Author: Angelini, Elena (Author)
Other Authors: Banbura, Marta (Contributor), Rünstler, Gerhard (Contributor)
Format: Electronic Book Chapter
Language:English
Published: Paris OECD Publishing 2010
Subjects:
Economics
Euro Area
Online Access: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
Summary: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
Physical Description:1 Online-Ressource (22 Seiten)
DOI:10.1787/jbcma-2010-5kmmsxgf2qbs

There is no print copy available.

Interlibrary loan Place Request Caution: Not in THWS collection! Get full text

Similar Items