Monthly forecasting of French GDP: A revised version of the OPTIM model

Karim Barhoumi (), V. Brunhes-Lesage, O. Darn , Laurent Ferrara, Bertrand Pluyaud and B. Rouvreau
Authors registered in the RePEc Author Service: Olivier Darné

Working papers from Banque de France

Abstract: This paper presents a revised version of the model OPTIM, proposed by Irac and S dillot (2002), used at the Banque de France in order to predict French GDP quarterly growth rate, for the current and next quarters. The model is designed to be used on a monthly basis by integrating monthly economic information through bridge models, for both supply and demand sides of GDP. For each GDP component, bridge equations are specified by using a general-to-specific approach implemented in an automated way by Hoover and Perez (1999) and improved by Krolzig and Hendry (2001). This approach allows to select explanatory variables among a large data set of hard and soft data. The final choice of equations relies on a recursive forecast study, which also helps to assess the forecasting performance of the revised OPTIM model in the prediction of aggregated GDP. This study is based on pseudo real-time forecasts taking publication lags into account. It turns out that the model outperforms benchmark models.

Keywords: GDP forecasting; Bridge models; General-to-specific approach (search for similar items in EconPapers)
JEL-codes: C52 C53 E20 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:222

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