Forecasting Industrial Production and the Early Detection of Turning POints

Giancarlo Bruno and Claudio Lupi

No 20, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlierrobust ARIMA model used as a benchmark. We show that the use of appropriately selected leading variables allows to produce up to twelve-step ahead reliable forecasts. We show how and why the use of these forecasts can improve the estimation of a cyclical indicator and the early detection of turning points for the manufacturing sector. This is of paramount importance for shortterm economic analysis.

Keywords: Forecasting; VAR Models; Industrial Production; Cyclical Indicators. (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2001-06
References: Add references at CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Forecasting industrial production and the early detection of turning points (2004)
Working Paper: Forecasting Industrial Production and the Early Detection of Turning Points (2003)
Working Paper: Forecasting Industrial Production and the Early Detection of Turning Points (2001)
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