Survey Data as Coicident or Leading Indicators

Cecilia Frale, Massimiliano Marcellino, Gian Luigi Mazzi and Tommaso Proietti ()

No ECO2009/19, Economics Working Papers from European University Institute

Abstract: In this paper we propose a monthly measure for the euro area Gross Domestic Product (GDP) based on a small scale factor model for mixed frequency data, featuring two factors: the first is driven by hard data, whereas the second captures the contribution of survey variables as coincident indicators. Within this framework we evaluate both the in-sample contribution of the second survey-based factor, and the short term forecasting performance of the model in a pseudo-real time experiment. We find that the survey-based factor plays a significant role for two components of GDP: Industrial Value Added and Exports. Moreover, the two factor model outperforms in terms of out of sample forecasting accuracy the traditional autoregressive distributed lags (ADL) specifications and the single factor model, with few exceptions for Exports and in growth rates.

Keywords: Survey data; Temporal Disaggregation. Multivariate State Space Models. Dynamic factor Models. Kalman filter and smoother. Chain-linking (search for similar items in EconPapers)
JEL-codes: E32 E37 C53 (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: 2009
View list of references

Downloads: (external link)
http://cadmus.eui.eu/dspace/bitstream/1814/11454/1/ECO_2009_19.pdf main text

Related works:
Working Paper: Survey Data as Coincident or Leading Indicators
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: http://EconPapers.repec.org/RePEc:eui:euiwps:eco2009/19

Access Statistics for this paper

More papers in Economics Working Papers from European University Institute
Address: Badia Fiesolana, Via dei Roccettini, 9, 50016 San Domenico di Fiesole (FI) Italy
Contact information at EDIRC.
Series data maintained by Marcia Gastaldo ().