Both temporal disaggregation techniques and bridge models are tools to analyse the GDP dynamics in the very short run (the current quarter), though their methodological approaches differ on how to exploit the available monthly information. The aim of this paper is to propose a way to merge the information sources of the two approaches. In doing so, we use forecast ability statistics to validate the appropriateness of some temporal disaggregation techniques by related series. The results for the GDP of the G7 countries suggest that the information about the list of the coincident indicators in the bridge models can be often useful to select the related series to be used in the temporal disaggregation procedures. In particular, the monthly disaggregation of the quarterly Euro area GDP may be improved thanks to the information content of the French, German and Italian models.

Short-run GDP forecasting in G7 countries: temporal disaggregation techniques and bridge models / G. Bruno; T. Di Fonzo; R. Golinelli; G. Parigi. - STAMPA. - (2005), pp. 1-24. (Intervento presentato al convegno Frontiers in Benchmarking Techniques and Their Application to Official Statistics tenutosi a Luxembourg nel 7-8 Aprile 2005).

Short-run GDP forecasting in G7 countries: temporal disaggregation techniques and bridge models

GOLINELLI, ROBERTO
Penultimo
;
2005

Abstract

Both temporal disaggregation techniques and bridge models are tools to analyse the GDP dynamics in the very short run (the current quarter), though their methodological approaches differ on how to exploit the available monthly information. The aim of this paper is to propose a way to merge the information sources of the two approaches. In doing so, we use forecast ability statistics to validate the appropriateness of some temporal disaggregation techniques by related series. The results for the GDP of the G7 countries suggest that the information about the list of the coincident indicators in the bridge models can be often useful to select the related series to be used in the temporal disaggregation procedures. In particular, the monthly disaggregation of the quarterly Euro area GDP may be improved thanks to the information content of the French, German and Italian models.
2005
Frontiers in Benchmarking Techniques and Their Application to Official Statistics
1
24
Short-run GDP forecasting in G7 countries: temporal disaggregation techniques and bridge models / G. Bruno; T. Di Fonzo; R. Golinelli; G. Parigi. - STAMPA. - (2005), pp. 1-24. (Intervento presentato al convegno Frontiers in Benchmarking Techniques and Their Application to Official Statistics tenutosi a Luxembourg nel 7-8 Aprile 2005).
G. Bruno; T. Di Fonzo; R. Golinelli; G. Parigi
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/35366
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