𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Survey data as coincident or leading indicators

✍ Scribed by Cecilia Frale; Massimiliano Marcellino; Gian Luigi Mazzi; Tommaso Proietti

Book ID
102215369
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
411 KB
Volume
29
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

In this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small‐scale factor model for mixed‐frequency data, featuring two factors: the first is driven by hard data, whereas the second captures the contribution of survey variables as coincident indicators. Within this framework we evaluate both the in‐sample contribution of the second survey‐based factor, and the short‐term forecasting performance of the model in a pseudo‐real‐time experiment. We find that the survey‐based factor plays a significant role for two components of GDP: industrial value added and exports. Moreover, the two‐factor model outperforms in terms of out‐of‐sample forecasting accuracy the traditional autoregressive distributed lags (ADL) specifications and the single‐factor model, with few exceptions. Copyright © 2009 John Wiley & Sons, Ltd.

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