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...
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| Weitere Verfasser: | , |
| Format: | Elektronisch Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2010
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| Schlagworte: | |
| Online-Zugang: | 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 p.) |
| DOI: | 10.1787/jbcma-2010-5kmmsxgf2qbs |
Internformat
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| 100 | 1 | |a Angelini, Elena |e VerfasserIn |4 aut | |
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| 520 | |a 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. | ||
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| spelling | Angelini, Elena VerfasserIn 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 p.) Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 MitwirkendeR ctb Rünstler, Gerhard MitwirkendeR ctb Enthalten in OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2010, no. 1, p. 1-22 volume:2010 year:2010 number:1 pages:1-22 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-2010-5kmmsxgf2qbs 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_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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