The role of indicator selection in nowcasting euro-area GDP in pseudo-real time

被引：0
作者：
Alessandro Girardi
Roberto Golinelli
Carmine Pappalardo
机构：
[1] Italian National Institute of Statistics (ISTAT),Econometric Studies and Economic Forecasting Division
[2] University of Bologna,Department of Economics
[3] Macroeconomic Analysis Department,undefined
来源：
Empirical Economics | 2017年 / 53卷
关键词：
Euro-area GDP forecasts; Bridge and factor models; Indicators’ selection and prescreening; Forecasting ability; C53; C22; E37; F47;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Building on the literature on regularization and dimension reduction methods, the paper presents a quarterly forecasting model for euro-area GDP. The pseudo-real-time nature of the information set is accounted for as the pattern of publication lags is explicitly considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without preselected indicators. Moreover, forecast combination significantly reduces forecast error.
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页码：79 / 99
页数：20
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