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EnglishIn this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small-scale factor model for mixed-frequency data, featuring two factors: the first is driven by hard data, whereas the second captures the contribution of survey variables as coincident indicators. Within this framework we evaluate both the in-sample contribution of the second survey-based factor, and the short-term forecasting performance of the model in a pseudo-real-time experiment. We find that the survey-based factor plays a significant role for two components of GDP: industrial value added and exports. Moreover, the two-factor model outperforms in terms of out-of-sample forecasting accuracy the traditional autoregressive distributed lags (ADL) specifications and the single-factor model, with few exceptions.
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| Titolo: | Survey Data as Coincident or Leading Indicators | |
| Data di pubblicazione: | 2010 | |
| Autori: | ||
| Autori: | Marcellino, Massimiliano; C., Frale; G., Mazzi; T., Proietti | |
| Rivista: | JOURNAL OF FORECASTING | |
| Abstract: | In this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small-scale factor model for mixed-frequency data, featuring two factors: the first is driven by hard data, whereas the second captures the contribution of survey variables as coincident indicators. Within this framework we evaluate both the in-sample contribution of the second survey-based factor, and the short-term forecasting performance of the model in a pseudo-real-time experiment. We find that the survey-based factor plays a significant role for two components of GDP: industrial value added and exports. Moreover, the two-factor model outperforms in terms of out-of-sample forecasting accuracy the traditional autoregressive distributed lags (ADL) specifications and the single-factor model, with few exceptions. | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1002/for.1142 | |
| Appare nelle tipologie: | 01 - Article in academic journal / Articolo su rivista scientifica |
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http://hdl.handle.net/11565/3719027
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