Forecasting Industrial Production and the Early Detection of Turning Points

Giancarlo Bruno () and Claudio Lupi ()

Econometrics from EconWPA

Abstract: In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlier-robust ARIMA model used as a benchmark. We show that the use of appropriately selected leading variables allows to produce up to twelve-step ahead reliable forecasts. We show how and why the use of these forecasts can improve the estimate of a cyclical indicator and the early detection of turning points for the manufacturing sector. This is of paramount importance for short-term economic analysis.

Keywords: Forecasting; Forecast Encompassing; VAR Models; Industrial Production; Cyclical Indicators (search for similar items in EconPapers)
JEL-codes: C53 C32 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-tid
Date: 2001-10-09
Note: Type of Document - zipped PDF; prepared on IBM PC ; pages: 38; figures: included
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http://129.3.20.41/eps/em/papers/0110/0110004.pdf (application/pdf)

Related works:
Working Paper: Forecasting Industrial Production and the Early Detection of Turning Points (2003)
Working Paper: Forecasting Industrial Production and the Early Detection of Turning POints (2001)
Journal Article: Forecasting industrial production and the early detection of turning points (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0110004

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