Macroeconomic forecasting in the Euro area: Country specific versus area-wide information

European Economic Review

Volumn 47, Issue 1, 2003, Pages 1-18

  Marcellino, Massimiliano ^a,d   Stock, James H ^b,e   Watson, Mark W ^c,e  

^a BOCCONI UNIVERSITY   (Italy)

^b HARVARD UNIVERSITY   (United States)

^c PRINCETON UNIVERSITY   (United States)

^d CEPR   (United Kingdom)

^e NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Aggregation; Factor models; Forecasting

Indexed keywords

AGGREGATION; FORECASTING METHOD; INFLATION; TIME SERIES;

EUROPE;

EID: 0037307624     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0014-2921(02)00206-4     Document Type: Article

References (11)

1. Bai, J., Ng, S., 2002. Determining the number of factors in approximate factor models. Econometrica 70, 191-221.
2. Fair, R.C., Shiller, R.J., 1990. Comparing information in forecasts from econometric models. American Economic Review 80, 375-389.
3. Forni, M., Hallin, M., Lippi, M., Reichlin, L., 1999. Reference cycles: The NBER methodology revisited. manuscript.
4. Forni, M., Hallin, M., Lippi, M., Reichlin, L., 2000. The generalized dynamic factor model: Identification and estimation. Review of Economics and Statistics 82, 540-554.
5. Gali, J., Gerter, M., López-Salido, J.D., 2001. European inflation dynamics. European Economic Review 45, 1237-1270.
6. Geweke, J., 1977. The dynamic factor analysis of economic time series. In: Aigner, D.J., Goldberger, A.S. (Eds.), Latent Variables in Socio-Economic Models. North-Holland, Amsterdam (Chapter 19).
7. Lutkepohl, H., 1987. Forecasting Aggregated Vector ARMA Processes. Springer, Berlin.
8. Sargent, T.J., Sims, C.A., 1977. Business cycle modeling without pretending to have too much a priori economic theory. In: C. Sims et al. (Eds.), New Methods in Business Cycle Research, Federal Reserve Bank of Minneapolis, Minneapolis, MN.
9. Stock, J.H., Watson, M.W., 1998. Diffusion indexes. NBER working paper #6702.
10. Stock, J.H., Watson, M.W., 1999. Forecasting inflation. Journal of Monetary Economics 44, 293-335.
11. Wallis, Kenneth F., 1974. Seasonal adjustment and relations between variables. Journal of the American Statistical Association 69 (345), 18-31.