Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26416
Authors: 
Hülsewig, Oliver
Mayr, Johannes
Wollmershäuser, Timo
Year of Publication: 
2008
Series/Report no.: 
CESifo working paper 2371
Abstract: 
This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of information approach outperforms alternative forecasting methods in terms of forecast accuracy.
Subjects: 
Forecasting
aggregation
model averaging
real time experiment
JEL: 
C13
C51
C53
C82
E37
Document Type: 
Working Paper

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