Econometric analyses with backdated data - unified Germany and the euro area

Elena Angelini and Massimiliano Marcellino

No 752, Working Paper Series from European Central Bank

Abstract: In this paper we compare alternative approaches for the construction of time series of macroeconomic variables for Unified Germany prior to 1991, and then use them for the construction of corresponding time series for the euro area. The resulting series for Germany and the euro area are compared with existing ones on the basis of both descriptive statistics and results of econometric analyses conducted with the alternative time series. We find that more sophisticated time series methods for backdating can yield sizeable gains. JEL Classification: C32, C43, C82.

Keywords: Backdating; Factor Model; Unified Germany; Euro Area. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-eec and nep-mac
Date: 2007-05
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