Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model

31 Pages Posted: 31 Jan 2009

See all articles by Elena Angelini

Elena Angelini

European Central Bank (ECB)

Marta Banbura

European Central Bank

Gerhard Rünstler

European Central Bank

Date Written: October 28, 2008

Abstract

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

Angelini, Elena and Banbura, Marta and Rünstler, Gerhard, Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model (October 28, 2008). ECB Working Paper No. 953. Available at SSRN: https://ssrn.com/abstract=1282045

Elena Angelini

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
49 69 1344 7912 (Phone)
44 69 1344 6575 (Fax)

Marta Banbura (Contact Author)

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Gerhard Rünstler

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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