Short-Term Forecasting: Projecting Italian GDP, One Quarter to Two Years Ahead
23 Pages Posted: 31 Jan 2006
Date Written: August 2001
This paper presents a bridge model for short-run (one or two quarters ahead) forecasting of Italian GDP, relying on industrial production and survey indicators as key variables that can help in providing a real-time first GDP estimate. For a one- to two-year horizon, it formulates and estimates a Bayesian VAR (BVAR) model of the Italian economy. Both the bridge and the BVAR model can be of great help in supplementing traditional judgmental or structural econometric forecasts. Given their simplicity and their good forecasting power, the framework may be usefully extended to other variables as well as to other countries.
Keywords: Forecasting, Bayesian Vector Autoregressions, leading indicators
JEL Classification: C11, C32, E32, E37
Suggested Citation: Suggested Citation