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dc.contributor.authorBANERJEE, Anindya
dc.contributor.authorMARCELLINO, Massimiliano
dc.contributor.authorMASTEN, Igor
dc.date.accessioned2006-05-19T10:22:40Z
dc.date.available2006-05-19T10:22:40Z
dc.date.issued2003
dc.identifier.urihttp://hdl.handle.net/1814/4429
dc.description.abstractIn this Paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB euro area model database, plus a set of similar variables for the US. We compare the forecasting performance of each indicator with that of purely autoregressive models, using an evaluation procedure that is particularly relevant for policy-making. The evaluation is conducted both ex-post and in a pseudo real time context, for several forecast horizons, and using both recursive and rolling estimation. We also analyse three different approaches to combining the information from several indicators. First, we discuss the use as indicators of the estimated factors from a dynamic factor model for all the indicators. Second, an automated model selection procedure is applied to models with a large set of indicators. Third, we consider pooling the single indicator forecasts. The results indicate that single indicator forecasts are on average better than those derived from more complicated methods, but for them to beat the autoregression a different indicator has to be used in each period. A simple real-time procedure for indicator-selection produces good results.en
dc.language.isoenen
dc.relation.ispartofseriesCEPR Discussion Paperen
dc.relation.ispartofseries2003/3893en
dc.titleLeading Indicators for Euro Area Inflation and GDP Growthen
dc.typeWorking Paperen
dc.neeo.contributorBANERJEE|Anindya|aut|
dc.neeo.contributorMARCELLINO|Massimiliano|aut|EUI70008
dc.neeo.contributorMASTEN|Igor|aut|
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