We evaluate the informational content of news-based sentiment indicators for forecasting the Gross Domestic Product (GDP) of the five major European economies. The sentiment indicators that we construct are aspect-based, in the sense that we consider only the text that is related to a specific...

The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the...

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 sorted according to their correlations at various lags to euro-area GDP (Sorted Leading...