EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/26416
  
Title:Forecasting Euro area real GDP: optimal pooling of information PDF Logo
Authors:Hülsewig, Oliver
Mayr, Johannes
Wollmershäuser, Timo
Issue Date: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
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
577313908.PDF238.33 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/26416

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.