Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating

Brüggemann, Ralf; Zeng, Jing

Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2015

Projekt

Forecasting and Structural Analysis with Contemporaneous Aggregates of Time Series Data

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Oxford Bulletin of Economics and Statistics. 2015, 77(1), pp. 22-39. ISSN 0305-9049. eISSN 1468-0084. Available under: doi: 10.1111/obes.12053

Zusammenfassung

We suggest to use a factor model based backdating procedure to construct historical Euro-area macroeconomic time series data for the pre-Euro period. We
argue that this is a useful alternative to standard contemporaneous aggregation
methods. The paper investigates for a number of Euro-area variables whether
forecasts based on the factor-backdated data are more precise than those obtained
with standard area-wide data. A recursive pseudo-out-of-sample forecasting experiment using quarterly data is conducted. Our results suggest that some key variables (e.g. real GDP, inflation and long-term interest rate) can indeed be forecasted more precisely with the factor-backdated data.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

forecasting, factor model, backdating, European monetary union, constructing EMU data

Zitieren

ISO 690

BRÜGGEMANN, Ralf, Jing ZENG, 2015. Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating. In: Oxford Bulletin of Economics and Statistics. 2015, 77(1), pp. 22-39. ISSN 0305-9049. eISSN 1468-0084. Available under: doi: 10.1111/obes.12053

BibTex

@article{Bruggemann2015Forec-26607,
  year={2015},
  doi={10.1111/obes.12053},
  title={Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating},
  number={1},
  volume={77},
  issn={0305-9049},
  journal={Oxford Bulletin of Economics and Statistics},
  pages={22--39},
  author={Brüggemann, Ralf and Zeng, Jing}
}

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Universitätsbibliographie

Ja