Forecasting Industrial Production and the Early Detection of Turning Points

Giancarlo Bruno and Claudio Lupi

Econometrics from University Library of Munich, Germany

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 outlier-robust 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 estimate of a cyclical indicator and the early detection of turning points for the manufacturing sector. This is of paramount importance for short-term economic analysis.

Keywords: Forecasting; Forecast Encompassing; VAR Models; Industrial Production; Cyclical Indicators (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2001-10-09
New Economics Papers: this item is included in nep-tid
Note: Type of Document - zipped PDF; prepared on IBM PC ; pages: 38; figures: included
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0110/0110004.pdf (application/pdf)

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)
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:wpa:wuwpem:0110004

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).