Arbeitspapier
The role of targeted predictors for nowcasting GDP with bridge models: Application to the Euro area
Using factor models, it has recently been shown that a pre-selection of indicators improves GDP forecasts in the very short-term. The aim of this paper is to adopt this research to the methodology of bridge models in combination with pooling approaches. Focusing on Euro Area GDP between 2005 and 2013, we find that a selection of targeted predictors by means of soft- and hard-threshold algorithms improves the forecasting performance, especially during periods of economic crisis. While a critical number of indicators are needed to include all relevant information, adding additional indicators has a negative effect on forecasting performance, all the more, if the set of indicators becomes unbalanced.
- ISBN
-
978-3-86788-640-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Ruhr Economic Papers ; No. 559
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Forecasting
bridge equations
pooling of forecasts
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kitlinski, Tobias
an de Meulen, Philipp
- Ereignis
-
Veröffentlichung
- (wer)
-
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (wo)
-
Essen
- (wann)
-
2015
- DOI
-
doi:10.4419/86788640
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kitlinski, Tobias
- an de Meulen, Philipp
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Entstanden
- 2015
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