Arbeitspapier

Econometric analyses with backdated data: unified Germany and the euro area

In this paper we compare alternative approaches for the construction of time series of macroeconomic variables for Unified Germany prior to 1991, and then use them for the construction of corresponding time series for the euro area. The resulting series for Germany and the euro area are compared with existing ones on the basis of both descriptive statistics and results of econometric analyses conducted with the alternative time series. We find that more sophisticated time series methods for backdating can yield sizeable gains.

Language
Englisch

Bibliographic citation
Series: ECB Working Paper ; No. 752

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Index Numbers and Aggregation; Leading indicators
Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
Subject
Backdating
euro area
factor model
Unified Germany
Zeitreihenanalyse
Nationaleinkommen
Deutschland
EU-Staaten

Event
Geistige Schöpfung
(who)
Angelini, Elena
Marcellino, Massimiliano
Event
Veröffentlichung
(who)
European Central Bank (ECB)
(where)
Frankfurt a. M.
(when)
2007

Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Angelini, Elena
  • Marcellino, Massimiliano
  • European Central Bank (ECB)

Time of origin

  • 2007

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