Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?

Frédérique Bec and Matteo Mogliani

Working papers from Banque de France

Abstract: This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and information combinations. Theoretically, there should be no role for forecast combinations in a world where information sets can be instantaneously and costlessly combined. However, following some recent works which claim that this result holds in population but not necessarily in small samples, our paper questions this postulate empirically in a real-time and mixed-frequency framework. An application to the quarterly growth rate of French GDP reveals that, given a set of predictive models involving coincident indicators, a simple average of individual forecasts outperforms the individual forecasts, as long as no individual model encompasses the others. Furthermore, the simple average of individual forecasts outperforms, or it is statistically equivalent to, more sophisticated forecast combination schemes. However, when a predictive encompassing model is obtained by combining information sets, this model outperforms the most accurate forecast combination strategy.

Keywords: Forecast Combinations; Pooling Information; Macroeconomic Nowcasting; Real-time data; Mixed-frequency data. (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 E37 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2013
New Economics Papers: this item is included in nep-for
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_436_2013.pdf (application/pdf)

Related works:
Journal Article: Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information? (2015)
Working Paper: Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations ? (2013)
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:bfr:banfra:436

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart (michael.brassart@banque-france.fr).