Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model
31 Pages Posted: 31 Jan 2009
Date Written: October 28, 2008
We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time series models and bridge equations in forecasting growth in quarterly GDP and its components.
Keywords: dynamic factor models, interpolation, nowcasting
JEL Classification: E37, C53
Suggested Citation: Suggested Citation