A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting

This paper introduces a statistical model for short-term GDP forecasting based on approximate dynamic factors, Stock and Watson methodology, extracted from a very large number of leading indicators at several lags. Given that factor extraction is performed on many series from all countries of the euro area, the common component to all predictors reflects the overall business cycle of the euro area and can accordingly provide a good proxy for euro area GDP.

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Year of publication:	2004-12
Authors:	Grenouilleau, Daniel
Institutions:	Directorate-General Economic and Financial Affairs, European Commission
Subject:	sorted leading indicators dynamic \| SLID \| euro area \| GDP forecasting \| Stock and Watson methodology \| business cycle \| Grenouilleau

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Extent:	application/pdf
Series:	European Economy - Economic Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 219 46 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008509960