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

Elena Angelini, Marta Banbura () and Gerhard Rünstler ()
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Gerhard Rünstler: European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html

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)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-for and nep-mac
Date: 2008-10
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