Link to the University of Pittsburgh
Link to the University Library SystemContact us link
AEI Banner

Short-term forecasting of GDP using large monthly datasets - A pseudo real-time forecast evaluation exercise. NBB Working Papers. No. 133, 17 June 2008

Barhoumi, K. and Benk, S. and Cristadoro, R. and Den Reijer, A. and Jakaitiene, A. and Jelonek, P. and Rua, A. and Rünstler, G. and Ruth, K. and Van Nieuwenhuyze, C. (2008) Short-term forecasting of GDP using large monthly datasets - A pseudo real-time forecast evaluation exercise. NBB Working Papers. No. 133, 17 June 2008. [Working Paper]

[img]
Preview
PDF
Download (576Kb) | Preview

    Abstract

    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.

    Export/Citation:EndNote | BibTeX | Dublin Core | ASCII (Chicago style) | HTML Citation | OpenURL
    Social Networking:
    Item Type: Working Paper
    Subjects for non-EU documents: EU policies and themes > Policies & related activities > economic and financial affairs > general
    EU policies and themes > Policies & related activities > economic and financial affairs > EMU/EMS/euro
    Subjects for EU documents: UNSPECIFIED
    EU Series: UNSPECIFIED
    ["eprint_fieldname_eusries" not defined]: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > National Bank of Belgium (Brussels) > Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 02 Jun 2009
    Page Range: p. 31
    Last Modified: 15 Feb 2011 18:12
    URI: http://aei.pitt.edu/id/eprint/11000

    Actions (login required)

    View Item

    Document Downloads