Forecast Evaluation of European Commission Survey Indicators

Christian Gayer ()

Journal of Business Cycle Measurement and Analysis, 2006, vol. 2005, issue 2, 157-183

Abstract: This study examines the contribution of several survey indicators published by the European Commission to forecasting overall economic activity in the euro area. It entails a quantitative evaluation of the information content of seven composite indicators with regard to GDP growth. A preliminary analysis looks at the stationarity and correlation properties of the variables. Based on bivariate VAR-models and the notion of forecast improvement, the methodological approach is two-fold: In a first step, the focussed relations are studied from an ex post perspective. Employing standard and individual Granger-causality tests, an initial assessment of the mean predictive content of the indicators is provided.

Keywords: Business Cycle; Confidence Indicators; Forecasting; Forecast Evaluation (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://doi.org/10.1787/jbcma-v2005-art2-en (text/html)
Full text available to READ online. PDF download available to OECD iLibrary subscribers.

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:oec:stdkaa:5l9vc43c09ms

Access Statistics for this article

More articles in Journal of Business Cycle Measurement and Analysis from OECD Publishing, Centre for International Research on Economic Tendency Surveys Contact information at EDIRC.
Bibliographic data for series maintained by ().