A monthly indicator of employment in the euro area: real time analysis of indirect estimates

Filippo Moauro

MPRA Paper from University Library of Munich, Germany

Abstract: The paper presents the results of an extensive real time analysis of alternative model-based approaches to derive a monthly indicator of employment for the euro area. In the experiment the Eurostat quarterly national accounts series of employment is temporally disaggregated using the information coming from the monthly series of unemployment. The strategy benefits of the contribution of the information set of the euro area and its 6 larger member states, as well as the split into the 6 sections of economic activity. The models under comparison include univariate regressions of the Chow and Lin' type where the euro area aggregate is directly and indirectly derived, as well as multivariate structural time series models of small and medium size. The specification in logarithms is also systematically assessed. The largest multivariate setups, up to 49 series, are estimated through the EM algorithm. Main conclusions are the following: mean revision errors of disaggregated estimates of employment are overall small; a gain is obtained when the model strategy takes into account the information by both sector and member state; the largest multivariate setups outperforms those of small size and the strategies based on classical disaggregation methods.

Keywords: temporal disaggregation methods; multivariate structural time series models; mixed-frequency models; EM algorithm; Kalman filter and smoother (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C52 (search for similar items in EconPapers)
Date: 2010-12-30, Revised 2010-12-30
New Economics Papers: this item is included in nep-ecm and nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/27797/1/MPRA_paper_27797.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:27797

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().