Real-time GDP forecasting in the euro area

Alberto Baffigi (), Roberto Golinelli and Giuseppe Parigi

No 456, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Quantitative information on the current state of the economy is crucial to economic policy-making, but the quarterly national accounts data for GDP in the euro area are released with a significant delay. This paper presents alternative models for the real-time forecasting of euro area GDP and assesses their performance. We estimate univariate/multivariate statistical models, bridge models (systems of autoregressive distributed lags equations with indicators) and a small structural model. The models are estimated for aggregate GDP and components both area-wide and for the three main countries. They are estimated and tested for the period 1980-1999. Data from 1999 to 2001 are used to compare the forecasting ability, gauged by rolling-origin one-step-ahead errors.

Keywords: short-term GDP forecast; bridge model; out-of-sample forecasting accuracy (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 (search for similar items in EconPapers)
Date: 2002-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.bancaditalia.it/pubblicazioni/temi-disc ... 0456/tema_456_02.pdf (application/pdf)

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:bdi:wptemi:td_456_02

Access Statistics for this paper

More papers in Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().