Flow of conjunctural information and forecast of euro area economic activity
Katja Drechsel and
Authors registered in the RePEc Author Service: Katja Heinisch ()
Journal of Forecasting, 2011, vol. 30, issue 3, 336-354
Combining forecasts, we analyse the role of information flow in computing short-term forecasts up to one quarter ahead for the euro area GDP and its main components. A dataset of 114 monthly indicators is set up and simple bridge equations are estimated. The individual forecasts are then pooled, using different weighting schemes. To take into consideration the release calendar of each indicator, six forecasts are compiled successively during the quarter. We found that the sequencing of information determines the weight allocated to each block of indicators, especially when the first month of hard data becomes available. This conclusion extends the findings of the recent literature. Moreover, when combining forecasts, two weighting schemes are found to outperform the equal weighting scheme in almost all cases. Compared to an AR forecast, these improve by more than 40% the forecast performance for GDP in the current and next quarter. Copyright (C) 2010 John Wiley & Sons, Ltd.
Keywords: large dataset; forecast pooling; weighting scheme; GDP components; out‐of‐sample forecast performance (search for similar items in EconPapers)
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Working Paper: Flow of conjunctural information and forecast of euro area economic activity (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:30:y:2011:i:3:p:336-354
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