A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting

Daniel Grenouilleau

No 219, European Economy - Economic Papers 2008 - 2015 from Directorate General Economic and Financial Affairs (DG ECFIN), European Commission

Abstract: This paper introduces a statistical model for short-term GDP forecasting based on approximate dynamic factors, Stock and Watson methodology, extracted from a very large number of leading indicators at several lags. Given that factor extraction is performed on many series from all countries of the euro area, the common component to all predictors reflects the overall business cycle of the euro area and can accordingly provide a good proxy for euro area GDP.

Keywords: sorted leading indicators dynamic; SLID; euro area; GDP forecasting; Stock and Watson methodology; business cycle; Grenouilleau (search for similar items in EconPapers)
Pages: 46 pages
Date: 2004-12
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:euf:ecopap:0219

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