Date: 2010-01-01
Type: Article
Survey Data as Coincident or Leading Indicators
Journal of Forecasting, 2010, 29, 1-2, 109-131
FRALE, Cecilia, MARCELLINO, Massimiliano, MAZZI, Gian Luigi, PROIETTI, Tommaso, Survey Data as Coincident or Leading Indicators, Journal of Forecasting, 2010, 29, 1-2, 109-131
- https://hdl.handle.net/1814/15817
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/15817
Full-text via DOI: 10.1002/for.1142
ISSN: 1099-131X
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