Estimating and forecasting the euro area monthly national accounts from a dynamic factor model

Arbeitspapier

We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 953

Classification and Topics

• Classification: Wirtschaft ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Forecasting Models; Simulation Methods
• Subject: Dynamic Factor Models ; Interpolation ; nowcasting ; Wirtschaftsprognose ; Zeitreihenanalyse ; Nationaleinkommen ; Eurozone ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Angelini, Elena ; Bańbura, Marta ; Rünstler, Gerhard
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/153387
• Last update: 10.03.2025, 11:42 AM CET