Economics at your fingertips  

Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment

Katja Drechsel and Rolf Scheufele ()
Authors registered in the RePEc Author Service: Katja Heinisch ()

No 2012-16, Working Papers from Swiss National Bank

Abstract: This paper presents a method to conduct early estimates of GDP growth in Germany. We employ MIDAS regressions to circumvent the mixed frequency problem and use pooling techniques to summarize efficiently the information content of the various indicators. More specifically, we investigate whether it is better to disaggregate GDP (either via total value added of each sector or by the expenditure side) or whether a direct approach is more appropriate when it comes to forecasting GDP growth. Our approach combines a large set of monthly and quarterly coincident and leading indicators and takes into account the respective publication delay. In a simulated out-of-sample experiment we evaluate the different modelling strategies conditional on the given state of information and depending on the model averaging technique. The proposed approach is computationally simple and can be easily implemented as a nowcasting tool. Finally, this method also allows to retrace the driving forces of the forecast and hence enables the interpretability of the forecast outcome.

Keywords: Contemporaneous aggregation; nowcasting; leading indicators; MIDAS; forecast combination; forecast evaluation (search for similar items in EconPapers)
JEL-codes: E32 E37 C52 C53 (search for similar items in EconPapers)
Pages: 57 pages
Date: 2012
New Economics Papers: this item is included in nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27) Track citations by RSS feed

Downloads: (external link) ... _paper_2012_16.n.pdf (application/pdf)

Related works:
Journal Article: Bottom-up or direct? Forecasting German GDP in a data-rich environment (2018) Downloads
Working Paper: Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment (2013) Downloads
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:

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Enzo Rossi ().

Page updated 2021-04-12
Handle: RePEc:snb:snbwpa:2012-16