Publikation:

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

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2015

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http://nbn-resolving.de/urn:nbn:de:bsz:352-266076
DOI (zitierfähiger Link)
https://doi.org/10.1111/obes.12053
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Forecasting and Structural Analysis with Contemporaneous Aggregates of Time Series Data
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Wirtschaftswissenschaften: Publikationen
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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.

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330 Wirtschaft

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

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ISO 690BRÜGGEMANN, 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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