Estimating and forecasting the euro area monthly national accounts from a dynamic factor model
Gerhard Rünstler () and
Marta Banbura ()
No 953, Working Paper Series from European Central Bank
We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time series models and bridge equations in forecasting growth in quarterly GDP and its components. JEL Classification: E37, C53
Keywords: dynamic factor models; interpolation; nowcasting. (search for similar items in EconPapers)
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Journal Article: Estimating and forecasting the euro area monthly national accounts from a dynamic factor model (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2008953
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