文章基本信息

标题：Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise
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作者：Karim Barhoumi ; Szilard Benk ; Riccardo Cristadoro 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2008
卷号：1
出版社：European Central Bank
摘要：This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with models designed to exploit early releases of monthly indicators for the nowcast and forecast of quarterly GDP growth. Amongst the latter, we consider small bridge equations and forecast equations in which the bridging between monthly and quarterly data is achieved through a regression on factors extracted from large monthly datasets. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we fi nd that models that exploit monthly information outperform models that use purely quarterly data and, amongst the former, factor models perform best.
关键词：Bridge models; Dynamic factor;models; real-time data fl ow