Estimating and forecasting the euro area monthly national accounts from a dynamic factor model [electronic resource] / Elena Angelini, Marta Banbura and Gerhard Rünstler
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ArticlePublication details: Paris : OECD Publishing, 2010.Description: 22 pSubject(s): Online resources:
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OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2010, no. 1, p. 1-22Abstract: 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.
| Item type | Home library | Collection | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|---|
| Working Paper | Biblioteca Digital | Colección OECD | OECD jbcma-2010-5kmmsxgf2qbs (Browse shelf(Opens below)) | Not For Loan |
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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