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EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

Proietti, Tommaso; Marczak, Martyna; Mazzi, Gianluigi - School of Economics and Management, University of Aarhus - 2015

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...

Persistent link: https://www.econbiz.de/10011186679

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - European Central Bank - 2004

use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent … disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other … 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ?ve largest euro area …

Persistent link: https://www.econbiz.de/10005530900

A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP

Banbura, Marta; Rünstler, Gerhard - European Central Bank - 2007

We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...

Persistent link: https://www.econbiz.de/10005816244