A non-parametric method to nowcast the Euro Area IPI

Laurent Ferrara and Thomas Raffinot

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: Non-parametric methods have been empirically proved to be of great interest in the statistical literature in order to forecast stationary time series, but very few applications have been proposed in the econometrics literature. In this paper, our aim is to test whether non-parametric statistical procedures based on a Kernel method can improve classical linear models in order to nowcast the Euro area manufacturing industrial production index (IPI) by using business surveys released by the European Commission. Moreover, we consider the methodology based on bootstrap replications to estimate the confidence interval of the nowcasts

Keywords: Non-parametric; kernel; nowcasting; bootstrap; Euro area IPI (search for similar items in EconPapers)
JEL-codes: C22 C51 E66 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2008-04
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-for and nep-mac
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ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08033.pdf (application/pdf)

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Working Paper: A non-parametric method to nowcast the Euro Area IPI (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b08033

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