Estimating and forecasting the euro area monthly national accounts from a dynamic factor model

Elena Angelini, Gerhard Rünstler () and Marta Banbura

No 953, Working Paper Series from European Central Bank

Abstract: 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. JEL Classification: E37, C53

Keywords: dynamic factor models; interpolation; nowcasting. (search for similar items in EconPapers)
Date: 2008-10
Note: 338657
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp953.pdf (application/pdf)

Related works:
Journal Article: Estimating and forecasting the euro area monthly national accounts from a dynamic factor model (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2008953

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().