dc.contributor.author | FRALE, Cecilia | |
dc.contributor.author | MARCELLINO, Massimiliano | |
dc.contributor.author | MAZZI, Gian Luigi | |
dc.contributor.author | PROIETTI, Tommaso | |
dc.date.accessioned | 2011-02-25T15:41:57Z | |
dc.date.available | 2011-02-25T15:41:57Z | |
dc.date.issued | 2010-01-01 | |
dc.identifier.citation | Journal of Forecasting, 2010, 29, 1-2, 109-131 | en |
dc.identifier.issn | 1099-131X | |
dc.identifier.uri | https://hdl.handle.net/1814/15817 | |
dc.description.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. | en |
dc.language.iso | en | en |
dc.relation.ispartof | Journal of Forecasting | en |
dc.title | Survey Data as Coincident or Leading Indicators | en |
dc.type | Article | en |
dc.identifier.doi | 10.1002/for.1142 | |
dc.neeo.contributor | FRALE|Cecilia|aut| | |
dc.neeo.contributor | MARCELLINO|Massimiliano|aut|EUI70008 | |
dc.neeo.contributor | MAZZI|Gian Luigi|aut| | |
dc.neeo.contributor | PROIETTI|Tommaso|aut| | |
dc.identifier.volume | 29 | en |
dc.identifier.startpage | 109 | en |
dc.identifier.endpage | 131 | en |