A daily indicator of economic growth for the euro area

Valentina Aprigliano, Claudia Foroni, Massimiliano Marcellino, Gianluigi Mazzi and Fabrizio Venditti

International Journal of Computational Economics and Econometrics, 2017, vol. 7, issue 1/2, 43-63

Abstract: In this paper, we study alternative methods to construct a daily indicator of growth for the euro area. We aim for an indicator that (i) provides reliable predictions, (ii) can be easily updated at the daily frequency, (iii) gives interpretable signals, and (iv) it is linear. Using a large panel of daily and monthly data for the euro area we explore the performance of two classes of models: bridge and U-MIDAS models, and different forecast combination strategies. Forecasts obtained from U-MIDAS models, combined with the inverse MSE weights, best satisfy the required criteria.

Keywords: nowcasting; mixed-frequency data; daily indicators; economic growth; euro area; forecasting; bridge models; U-MIDAS models; modelling; eurozone. (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:7:y:2017:i:1/2:p:43-63

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