Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/108990
Authors: 
Proietti, Tommaso
Marczak, Martyna
Mazzi, Gianluigi
Year of Publication: 
2015
Series/Report no.: 
Hohenheim Discussion Papers in Business, Economics and Social Sciences 03-2015
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.
Subjects: 
Density Forecast Combination and Evaluation
Mixed-Frequency Data
Dynamic Factor Models
State Space Models
Guilds
JEL: 
C32
C52
C53
E37
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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