The delayed release of the National Account data for GDP is an impediment to the early understanding of the economic situation. In the short run, this information gap may be at least partially eliminated by bridge models (BM) which exploit the information content of timely updated monthly indicators. In this paper we examine the forecasting ability of BM for GDP growth in the G7 countries and compare their performance to that of univariate and multivariate statistical benchmark models. We run four alternative one-quarter ahead forecasting experiments to assess BM performance in situations as close as possible to the actual forecasting activity. BM are estimated for GDP both for single countries (US, Japan, Germany, France, UK, Italy, and Canada), and area-wide (G7, European Union, and Euro area). BM forecasting ability is always superior to that of benchmark models, provided that at least some monthly indicator data are available over the forecasting horizon.

R. Golinelli, G. Parigi (2007). The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries. JOURNAL OF FORECASTING, 27, 77-94.

The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries

GOLINELLI, ROBERTO;
2007

Abstract

The delayed release of the National Account data for GDP is an impediment to the early understanding of the economic situation. In the short run, this information gap may be at least partially eliminated by bridge models (BM) which exploit the information content of timely updated monthly indicators. In this paper we examine the forecasting ability of BM for GDP growth in the G7 countries and compare their performance to that of univariate and multivariate statistical benchmark models. We run four alternative one-quarter ahead forecasting experiments to assess BM performance in situations as close as possible to the actual forecasting activity. BM are estimated for GDP both for single countries (US, Japan, Germany, France, UK, Italy, and Canada), and area-wide (G7, European Union, and Euro area). BM forecasting ability is always superior to that of benchmark models, provided that at least some monthly indicator data are available over the forecasting horizon.
2007
R. Golinelli, G. Parigi (2007). The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries. JOURNAL OF FORECASTING, 27, 77-94.
R. Golinelli; G. Parigi
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/35363
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