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

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

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

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

2014-02-26T13:28:13Z 2014-02-26T13:28:13Z Brüggemann, Ralf Zeng, Jing 2015 Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating deposit-license eng 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<br />argue that this is a useful alternative to standard contemporaneous aggregation<br />methods. The paper investigates for a number of Euro-area variables whether<br />forecasts based on the factor-backdated data are more precise than those obtained<br />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. Brüggemann, Ralf Zeng, Jing

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