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dc.contributor.authorFRALE, Cecilia
dc.contributor.authorMARCELLINO, Massimiliano
dc.contributor.authorMAZZI, Gian Luigi
dc.contributor.authorPROIETTI, Tommaso
dc.date.accessioned2011-02-25T15:41:57Z
dc.date.available2011-02-25T15:41:57Z
dc.date.issued2010-01-01
dc.identifier.citationJournal of Forecasting, 2010, 29, 1-2, 109-131en
dc.identifier.issn1099-131X
dc.identifier.urihttp://hdl.handle.net/1814/15817
dc.description.abstractIn 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.en
dc.language.isoenen
dc.relation.ispartofJournal of Forecastingen
dc.titleSurvey Data as Coincident or Leading Indicatorsen
dc.typeArticleen
dc.identifier.doi10.1002/for.1142
dc.neeo.contributorFRALE|Cecilia|aut|
dc.neeo.contributorMARCELLINO|Massimiliano|aut|EUI70008
dc.neeo.contributorMAZZI|Gian Luigi|aut|
dc.neeo.contributorPROIETTI|Tommaso|aut|
dc.identifier.volume29en
dc.identifier.startpage109en
dc.identifier.endpage131en


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