Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/26416 
Year of Publication: 
2008
Series/Report no.: 
CESifo Working Paper No. 2371
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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
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