Arbeitspapier
Forecasting euro-area variables with German pre-EMU data
It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some nonlinear or time-varying coefficient models. It turns out that most variables which have a similar level for Germany and the Euro-area such as prices can be better predicted based on German data while aggregated European data are preferable for forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest that for variables which have a similar level for Germany and the Euro-area it may be reasonable to consider the German pre-EMU data for studying economic problems in the Euro-area.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2006,065
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
- Subject
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Aggregation
forecasting
European monetary union
constructing EMU data
Aggregation
Prognoseverfahren
Makroökonomischer Einfluss
Europäische Wirtschafts- und Währungsunion
Deutschland
- Event
-
Geistige Schöpfung
- (who)
-
Brüggemann, Ralf
Lütkepohl, Helmut
Marcellino, Massimiliano
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Brüggemann, Ralf
- Lütkepohl, Helmut
- Marcellino, Massimiliano
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2006
Other Objects (12)
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Forecasting Euro Area Macroeconomic Aggregate Variables
EMU and the Mediterranean Area
Forecasting Euro-area macroeconomic variables using a factor model approach for backdating
Forecasting Euro-area macroeconomic variables using a factor model approach for backdating
Forecasting economic variables with nonlinear models
Forecasting Macroeconomic Variables Using Disaggregate Survey Data
The EMU and the theory of optimum currency areas
The EMU and the theory of optimum currency areas
Forecasting trend output in the Euro area
Forecasting euro area recessions in real-time
Forecasting trend output in the Euro area
Forecasting Euro-Area Variables with German Pre-EMU Data
Forecasting Euro Area Macroeconomic Aggregate Variables
EMU and the Mediterranean Area
Forecasting Euro-area macroeconomic variables using a factor model approach for backdating
Forecasting Euro-area macroeconomic variables using a factor model approach for backdating
Forecasting economic variables with nonlinear models
Forecasting Macroeconomic Variables Using Disaggregate Survey Data
The EMU and the theory of optimum currency areas
The EMU and the theory of optimum currency areas
Forecasting trend output in the Euro area
Forecasting euro area recessions in real-time