This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is based on the generalized dynamic factor model proposed in Forni, Hallin, Lippi, and Reichlin (2000), and takes advantage of the information on the dynamic covariance structure...

This paper presents ideas and methods underlying the construction of an indicator that tracks the euro area GDP growth, but, unlike GDP growth, (i) is updated monthly and almost in real time; (ii) is free from short-run dynamics. Removal of short-run dynamics from a time series, to isolate the...