Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise

Gerhard Rünstler (), Karim Barhoumi (), Szilard Benk, Riccardo Cristadoro, Ard Reijer (), Audrone Jakaitiene (), P. Jelonek, António Rua, K. Ruth and C. Van Nieuwenhuyze
Additional contact information
P. Jelonek: Narodowy Bank Polski, Warsaw, Poland, Postal: Narodowy Bank Polski, Warsaw, Poland
K. Ruth: Deutsche Bundesbank, Frankfurt, Germany, Postal: Deutsche Bundesbank, Frankfurt, Germany
C. Van Nieuwenhuyze: National Bank of Belgium, Brussels, Belgium, Postal: National Bank of Belgium, Brussels, Belgium

Journal of Forecasting, 2009, vol. 28, issue 7, 595-611

Abstract: This paper performs a large-scale forecast evaluation exercise to assess the performance of different models for the short-term forecasting of GDP, resorting to large datasets from ten European countries. Several versions of factor models are considered and cross-country evidence is provided. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we find that factor models perform best and models that exploit monthly information outperform models that use purely quarterly data. However, the improvement over the simpler, quarterly models remains contained. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (84)

Downloads: (external link)
http://hdl.handle.net/10.1002/for.1105 Link to full text; subscription required (text/html)

Related works:
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: https://EconPapers.repec.org/RePEc:jof:jforec:v:28:y:2009:i:7:p:595-611

DOI: 10.1002/for.1105

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().