 Nowcasting the French index of industrial production: A comparison from bridge and factor modelsVéronique Brunhes-Lesage and Olivier Darné Economic Modelling, 2012, vol. 29, issue 6, 2174-2182 Abstract: Governments and central banks need to have an accurate and timely assessment of indicators for the current month, as this is essential for providing a reliable and early analysis of the current economic situation. The index of industrial production (IIP) is probably the most important and widely analyzed monthly indicator, given the relevance of the manufacturing activity as a driver of the whole business cycle. This paper presents a series of models conceived to forecast the current French monthly IIP, based on regression models and dynamic factor models. The combination of these two approaches allows selecting economically relevant explanatory variables among a large data set. In addition, a rolling forecast study is carried out to assess the forecasting performance of the estimated models, using predictive ability and model confidence set tests. This latter allows getting several models displaying equivalent forecasting performance and therefore gives robustness to the forecasting exercise rather than to base the forecasting analysis only on one model. Keywords: Index of industrial production; Nowcasting; ARDL models; Factor models (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:6:p:2174-2182 DOI: 10.1016/j.econmod.2012.04.011 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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