Arbeitspapier
Estimating and forecasting the euro area monthly national accounts from a dynamic factor model
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 953
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods
- Thema
-
Dynamic Factor Models
Interpolation
nowcasting
Wirtschaftsprognose
Zeitreihenanalyse
Nationaleinkommen
Eurozone
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Angelini, Elena
Bańbura, Marta
Rünstler, Gerhard
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Angelini, Elena
- Bańbura, Marta
- Rünstler, Gerhard
- European Central Bank (ECB)
Entstanden
- 2008
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