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Estimating and forecasting the euro area monthly national accounts from a dynamic factor model

Elena Angelini, Gerhard Rünstler () and Marta Banbura ()

No 953, Working Paper Series from European Central Bank

Abstract: 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)
Date: 2008-10
Note: 338657
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Journal Article: Estimating and forecasting the euro area monthly national accounts from a dynamic factor model (2010) Downloads
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