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Short-term forecasting of GDP using large monthly datasets – A pseudo real-time forecast evaluation exercise

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This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with models designed to exploit early releases of monthly indicators for the nowcast and forecast of quarterly GDP growth. Amongst the latter, we consider small bridge equations and forecast equations in which the bridging between monthly and quarterly data is achieved through a regression on factors extracted from large monthly datasets. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we find that models that exploit monthly information outperform models that use purely quarterly data and, amongst the former, factor models perform best.

Language: Englisch

Bibliographic citation: Series: NBB Working Paper ; No. 133

Classification: Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Forecasting Models; Simulation Methods

Subject: Bridge models
Dynamic factor models
real-time data flow
Nationaleinkommen
Prognoseverfahren
Dynamische Wirtschaftstheorie
Eurozone
Theorie
EU-Staaten

Event: Geistige Schöpfung

(who): Barhoumi, K.
Benk, S.
Cristadoro, R.
Den Reijer, A.
Jakaitiene, A.
Jelonek, P.
Rua, A.
Ruth, K.
Nieuwenhuyze, C. Van
Rünstler, G.

Event: Veröffentlichung

(who): National Bank of Belgium

(where): Brussels

(when): 2008

Handle: http://hdl.handle.net/10419/144346

Last update: 10.03.2025, 11:44 AM CET

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Object type

Arbeitspapier

Associated

Barhoumi, K.
Benk, S.
Cristadoro, R.
Den Reijer, A.
Jakaitiene, A.
Jelonek, P.
Rua, A.
Ruth, K.
Nieuwenhuyze, C. Van
Rünstler, G.
National Bank of Belgium

Time of origin

2008

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