The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time

Alessandro Girardi, Roberto Golinelli and C. Pappalardo

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

Abstract: Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including business surveys and financial indicators. The pseudo real-time nature of the information set is accounted for as the pattern of publication lags is considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without pre-selected indicators. Moreover, forecast combination significantly reduces forecast error.

JEL-codes: C22 C53 E37 F47 (search for similar items in EconPapers)
Date: 2014-01
New Economics Papers: this item is included in nep-ecm, nep-eec and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: The role of indicator selection in nowcasting euro-area GDP in pseudo-real time (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bol:bodewp:wp919

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