EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

45 Pages Posted: 14 Apr 2015

See all articles by Tommaso Proietti

Tommaso Proietti

University of Rome II - Department of Economics and Finance

Martyna Marczak

University of Hohenheim

Gian Luigi Mazzi

Eurostat

Date Written: April 10, 2015

Abstract

EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom-up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model of a set of coincident time series handling mixed frequencies of observation and ragged-edged data structures. They reflect both parameter and filtering uncertainty and are obtained by implementing a bootstrap algorithm for simulating from the distribution of the maximum likelihood estimators of the model parameters, and conditional simulation filters for simulating from the predictive distribution of GDP. Both algorithms process sequentially the data as they become available in real time. The GDP density estimates for the output and expenditure approach are combined using alternative weighting schemes and evaluated with different tests based on the probability integral transform and by applying scoring rules.

Keywords: Density Forecast Combination and Evaluation; Mixed–Frequency Data; Dynamic Factor Models; State Space Models

JEL Classification: C32, C52, C53, E37

Suggested Citation

Proietti, Tommaso and Marczak, Martyna and Mazzi, Gian Luigi, EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area (April 10, 2015). CEIS Working Paper No. 340. Available at SSRN: https://ssrn.com/abstract=2593062 or http://dx.doi.org/10.2139/ssrn.2593062

Tommaso Proietti (Contact Author)

University of Rome II - Department of Economics and Finance ( email )

Via Columbia, 2
Rome, 00133
Italy

Martyna Marczak

University of Hohenheim ( email )

Schloss, Museumsfluegel
Stuttgart, 70593
Germany

HOME PAGE: http://labour.uni-hohenheim.de/

Gian Luigi Mazzi

Eurostat ( email )

JMO Building Bech A2/44
Luxembourg, L-2920
Luxembourg

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