ISSN:
1995-2899
Language:
English
Pages:
22 p
Titel der Quelle:
OECD journal: journal of business cycle measurement and analysis
Publ. der Quelle:
Paris : OECD, 2008
Angaben zur Quelle:
Vol. 2010, no. 1, p. 1-22
Keywords:
Economics
;
Euro Area
Abstract:
We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time-series models and bridge equations, in forecasting growth in quarterly GDP and its components.
DOI:
10.1787/jbcma-2010-5kmmsxgf2qbs
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