Abstract
This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of information approach outperforms alternative forecasting methods in terms of forecast accuracy.
Item Type: | Paper |
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Faculties: | Economics Economics > Chairs > Chair in Public Finance |
Subjects: | 300 Social sciences > 330 Economics |
Language: | English |
Item ID: | 19457 |
Date Deposited: | 15. Apr 2014, 08:51 |
Last Modified: | 29. Apr 2016, 09:16 |