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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/26416
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| Title: | | Forecasting Euro area real GDP: optimal pooling of information  |
| 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
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