The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time

Arbeitspapier

Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including business surveys and financial indicators. The pseudo real-time nature of the information set is accounted for as the pattern of publication lags is considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without pre-selected indicators. Moreover, forecast combination significantly reduces forecast error.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Quaderni - Working Paper DSE ; No. 919

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Forecasting Models; Simulation Methods ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Girardi, Alessandro ; Golinelli, Roberto ; Pappalardo, Carmine
• Ereignis: Veröffentlichung
• (wer): Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
• (wo): Bologna
• (wann): 2014

Weitere Informationen

• DOI: doi:10.6092/unibo/amsacta/3931
• Handle: http://hdl.handle.net/10419/159758
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ