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 the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo r...
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| Other Authors: | , |
| Format: | eBook |
| Language: | English |
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Paris
OECD Publishing
2010
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| Collection: | OECD Books and Papers - Collection details see MPG.ReNa |
| Summary: | We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting 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 |
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| Physical Description: | 22 p |