Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153387
Authors: 
Angelini, Elena
Bańbura, Marta
Rünstler, Gerhard
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper 953
Abstract: 
We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time series models and bridge equations in forecasting growth in quarterly GDP and its components.
Subjects: 
Dynamic Factor Models
Interpolation
nowcasting
JEL: 
E37
C53
Document Type: 
Working Paper

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