Forecasting Euro Area Real GDP: Optimal Pooling of Information
Johannes Mayr () and
Timo Wollmershäuser ()
No 2371, CESifo Working Paper Series from CESifo
This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of information approach outperforms alternative forecasting methods in terms of forecast accuracy.
Keywords: forecasting; aggregation; model averaging; real time experiment (search for similar items in EconPapers)
JEL-codes: C13 C51 C53 C82 E37 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2371
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