EconPapers    
Economics at your fingertips  
 

EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro

Stefano Grassi (), Tommaso Proietti (), Cecilia Frale (), Massimiliano Marcellino and Gianluigi Mazzi ()

Studies in Economics from School of Economics, University of Kent

Abstract: The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance is obtained by referring our monthly indicators to gross domestic product at chained volumes, the most important measure of the level of economic activity. Representativeness is achieved by entertaining a very large number of (timely) time series on monthly indicators relating to the level of economic activity, providing a more or less complete coverage. The indicators are modelled with a large scale parametric factor model. We discuss its specification and provide details on the statistical treatment. Computational efficiency is crucial for estimating a large scale parametric factor model of the dimension considered in our application (considering about 170 series). To achieve it we apply state of the art state space methods that can handle temporal aggregation, and any pattern of missing values.

Keywords: Index of coincident indicators; Temporal Disaggregation; Multivariate State Space Models; Dynamic factor Models; Quarterly National accounts (search for similar items in EconPapers)
JEL-codes: E32 E37 C53 (search for similar items in EconPapers)
Date: 2014-05
New Economics Papers: this item is included in nep-eec and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://www.kent.ac.uk/economics/repec/1406.pdf (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:ukc:ukcedp:1406

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Studies in Economics from School of Economics, University of Kent School of Economics, University of Kent, Canterbury, Kent, CT2 7FS.
Bibliographic data for series maintained by Tracey Girling ().

 
Page updated 2021-04-12
Handle: RePEc:ukc:ukcedp:1406