OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

Estimating and forecasting the euro area monthly national accounts from a dynamic factor model You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3310011ec001.pdf
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Author(s):
Elena Angelini, Marta Banbura, Gerhard Rünstler
24 Sep 2010
Pages:
22
Bibliographic information
No.:
7,
Volume:
2010,
Issue:
1
Pages:
1–22
http://dx.doi.org/10.1787/jbcma-2010-5kmmsxgf2qbs

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We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time-series models and bridge equations, in forecasting growth in quarterly GDP and its components.

 
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