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Estimating and forecasting the euro area monthly national accounts from a dynamic factor model

Elena Angelini, Marta Banbura () and Gerhard Rünstler ()

OECD Journal: Journal of Business Cycle Measurement and Analysis, 2010, vol. 2010, issue 1, 1-22

Abstract: We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time-series models and bridge equations, in forecasting growth in quarterly GDP and its components.

Keywords: Dynamic Factor Models; Interpolation; Nowcasting (search for similar items in EconPapers)
Date: 2010
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Working Paper: Estimating and forecasting the euro area monthly national accounts from a dynamic factor model (2008) Downloads
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