The creation of the Euro area has increased the importance of obtaining timely information about short-term changes in the area's real activity. In this paper we propose a number of alternative short term forecasting models, ranging from simple ARIMA models to more complex cointegrated VAR and conditional models, to forecast the index of industrial production in the euro area. A conditional error-correction model in which the aggregate index of industrial production for the area is explained by the US industrial production index and the business confidence index from the European Commission harmonised survey on manufacturing firms achieves the best score in terms of forecasting capacity.

Forecasting industrial production in the Euro area / Bodo G.; Golinelli R.; Parigi G.. - In: EMPIRICAL ECONOMICS. - ISSN 0377-7332. - STAMPA. - 25:4(2000), pp. 541-561. [10.1007/s001810000032]

Forecasting industrial production in the Euro area

Golinelli R.;
2000

Abstract

The creation of the Euro area has increased the importance of obtaining timely information about short-term changes in the area's real activity. In this paper we propose a number of alternative short term forecasting models, ranging from simple ARIMA models to more complex cointegrated VAR and conditional models, to forecast the index of industrial production in the euro area. A conditional error-correction model in which the aggregate index of industrial production for the area is explained by the US industrial production index and the business confidence index from the European Commission harmonised survey on manufacturing firms achieves the best score in terms of forecasting capacity.
2000
Forecasting industrial production in the Euro area / Bodo G.; Golinelli R.; Parigi G.. - In: EMPIRICAL ECONOMICS. - ISSN 0377-7332. - STAMPA. - 25:4(2000), pp. 541-561. [10.1007/s001810000032]
Bodo G.; Golinelli R.; Parigi G.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/954376
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