EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi ()
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Gianluigi Mazzi: Statistical Office of the European Communities, Eurostat

No 340, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom–up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model of a set of coincident time series handling mixed frequencies of observation and ragged–edged data structures. They reflect both parameter and filtering uncertainty and are obtained by implementing a bootstrap algorithm for simulating from the distribution of the maximum likelihood estimators of the model parameters, and conditional simulation filters for simulating from the predictive distribution of GDP. Both algorithms process sequentially the data as they become available in real time. The GDP density estimates for the output and expenditure approach are combined using alternative weighting schemes and evaluated with different tests based on the probability integral transform and by applying scoring rules.

Keywords: Density Forecast Combination and Evaluation; Mixed–Frequency Data; Dynamic Factor Models; State Space Models (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 E37 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2015-04-10, Revised 2015-04-10
New Economics Papers: this item is included in nep-eec, nep-for and nep-mac
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Related works:
Journal Article: Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area (2017)
Working Paper: EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area (2015)
Working Paper: EuroMInd-D: A density estimate of monthly gross domestic product for the euro area (2015)
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