Forecasting Euro-Area Variables with German Pre-EMU Data

Ralf Brueggemann, Helmut Luetkepohl and Massimiliano Marcellino
Authors registered in the RePEc Author Service: Ralf Brüggemann and Helmut Lütkepohl

No ECO2006/30, Economics Working Papers from European University Institute

Abstract: 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.

Keywords: Aggregation; forecasting; European monetary union; constructing EMU data (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ecm, nep-eec and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://cadmus.iue.it/dspace/bitstream/1814/6307/1/ECO_2006_30.pdf main text
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Forecasting euro area variables with German pre-EMU data (2008)
Working Paper: Forecasting euro-area variables with German pre-EMU data (2006)
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:eui:euiwps:eco2006/30

Access Statistics for this paper

More papers in Economics Working Papers from European University Institute Badia Fiesolana, Via dei Roccettini, 9, 50014 San Domenico di Fiesole (FI) Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Cécile Brière (cecile.briere@eui.eu).