Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159758
Authors: 
Girardi, Alessandro
Golinelli, Roberto
Pappalardo, Carmine
Year of Publication: 
2014
Series/Report no.: 
Quaderni - Working Paper DSE 919
Abstract: 
Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including business surveys and financial indicators. The pseudo real-time nature of the information set is accounted for as the pattern of publication lags is considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without pre-selected indicators. Moreover, forecast combination significantly reduces forecast error.
JEL: 
C53
C22
E37
F47
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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