Nowcasting German GDP: A comparison of bridge and factor models

Journal of Policy Modeling

Volumn 34, Issue 6, 2012, Pages 864-878

  Antipa, Pamfili ^a   Barhoumi, Karim ^a   Brunhes Lesage, Véronique ^a   Darné, Olivier ^a,b  

^a BANQUE DE FRANCE   (France)

^b UNIVERSITÉ DE NANTES   (France)

Author keywords

Bridge models; Factor models; GDP forecasting

Indexed keywords

EID: 84869889329     PISSN: 01618938     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jpolmod.2012.01.010     Document Type: Article

References (64)

1. Abberger, K. (2007). Forecasting quarter-on-quarter changes of German GDP with monthly business tendency survey results. Working papers no. 40. IFO.
2. Angelini E., Camba-Mendez G., Giannone D., Reichlin L., Rünstler G. Short-term forecasts of euro area GDP growth. Econometrics Journal 2011, 14:25-44.
3. Angeloni, I., Kashyap, A., Mojon, B. & Terlizzese, D. (2002). Monetary transmission in the euro area: Where do we stand. Working paper no. 114. European Central Bank.
4. Baffigi A., Golinelli R., Parigi G. Bridge model to forecast the euro area GDP. International Journal of Forecasting 2004, 20:447-460.
5. Bai J., Ng S. Determining the number of factors in approximate factor models. Econometrica 2002, 70:191-221.
6. Bai J., Ng S. Determining the number of primitive shocks in factor models. Journal of Business and Economic Statistics 2007, 25:52-60.
7. Banbura M., Rünstler G. A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP. International Journal of Forecasting 2011, 27:333-346.
8. Banerjee A., Marcellino M. Are there any reliable leading indicators for US inflation and GDP growth?. International Journal of Forecasting 2006, 22:137-151.
9. Banerjee A., Marcellino M., Masten I. Leading indicators for euro-area inflation and GDP growth. Oxford Bulletin of Economics and Statistics 2005, 67:785-813.
10. Barhoumi K., Darné O., Ferrara L. Are disaggregate data useful for factor analysis in forecasting French GDP?. Journal of Forecasting 2010, 29:132-144.
11. Barhoumi, K., Darné, O., Ferrara, L., & Pluyaud, B. Monthly GDP forecasting using bridge models: Comparison from the supply and demand sides for the French economy. Bulletin of Economic Research, in press.
12. Boivin J., Ng S. Are more data always better for factor analysis?. Journal of Econometrics 2006, 132:169-194.
13. Breitung J., Eickmeier S. " Dynamic factor models," AStA advances in statistical analysis 2006, March, Vol. 90(1). Springer, pp. 27-42.
14. Bulligan G., Golinelli R., Parigi G. Forecasting monthly industrial production in real-time: From single equations to factor-based models. Empirical Economics 2010, 39:303-336.
15. Caggiano G., Kapetanios G., Labhard V. Are more data always better for factor analysis? Results for the Euro area, the six largest Euro area countries and the UK. Journal of Forecasting 2011, 30:736-752.
16. Camacho M., Perez-Quiros G. Introducing the EURO-STING: Short term indicator of Euro area growth. Journal of Applied Econometrics 2010, 25:663-694.
17. Campos J., Ericsson N.R., Hendry D.F. General-to-specific modeling 2004, Edward Elgard.
18. Castle J.L. Evaluating PcGets and RETINA as automatic model selection algorithms. Oxford Bulletin of Economics and Statistics 2005, 67:837-880.
19. Ciccone A., Jarocinski M. Determinants of economic growth - Will data tell?. American Economic Journal: Macroeconomics 2010, 2:222-246.
20. Coutino A. On the use of high-frequency economic information to anticipate the current quarter GDP: A study case for Mexico. Journal of Policy Modeling 2005, 27:327-344.
21. Clements M., Galvão A. Macroeconomic forecasting with mixed frequency data: Forecasting output growth in the United States. Journal of Business and Economic Statistics 2008, 26:546-554.
22. Diebold F.X., Mariano R.S. Comparing Predictive Accuracy. Journal of Business and Economic Statistics 1995, 13(3):253-263.
23. Diron M. Short-term forecasts of Euro area real GDP growth: An assessment of real-time performance based on vintage data. Journal of Forecasting 2008, 27:371-390.
24. Doz C., Giannone D., Reichlin L. A two-step estimator for large approximate dynamic factor models based on Kalman filtering. Journal of Econometrics 2011, 164:188-205.
25. Doz, C., Giannone, D., & Reichlin, L. (2012). A quasi maximum likelihood approach for large approximate dynamic factor models. Review of Economics and Statistics, in press.
26. Dreger C., Marcellino M. A macroeconometric model for the Euro economy. Journal of Policy Modeling 2007, 29:1-13.
27. Dubois, E. (2003). GROCER: An econometric toolbox for Scilab. Mimeo http://dubois.ensae.net/grocer.html.
28. Eickmeier S., Ziegler C. How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach. Journal of Forecasting 2008, 27:237-265.
29. Forni M., Hallin M., Lippi M., Reichlin L. Do financial variables help forecasting inflation and real activity in the euro area?. Journal of Monetary Economics 2003, 50:1243-1255.
30. Forni M., Hallin M., Lippi M., Reichlin L. The generalized factor model: Consistency and rates. Journal of Econometrics 2004, 119:231-255.
31. Forni M., Hallin M., Lippi M., Reichlin L. The generalized dynamic factor model: One-sided estimation and forecasting. Journal of the American Statistical Association 2005, 100:830-840.
32. Ghysels E., Sinko A., Valkanov R. MIDAS regressions: Further results and new directions. Econometric Reviews 2007, 26:53-90.
33. Giannone, D., Reichlin, L., & Small, D. (2005). Nowcasting GDP and inflation: The real time informational content of macroeconomic data releases. Discussion papers 5178, CEPR.
34. Giannone D., Reichlin L., Small D. Nowcasting GDP and inflation: The real-time informational content of macroeconomic data releases. Journal of Monetary Economics 2008, 55:665-676.
35. Golinelli, R., & Parigi, G. (2005). Short-run Italian GDP forecasting and real-time data. Discussion paper no. 5302, CEPR.
36. Golinelli R., Parigi G. The use of monthly indicators to forecast quarterly GDP in the short run: An application to the G7 countries. Journal of Forecasting 2007, 26:77-94.
37. Hahn, E., & Skudelny, F. (2008). Early estimates of Euro area real GDP growth: A bottom up approach from the production side. Working paper series no. 975. European Central Bank.
38. Hansson J., Jansson P., Löf M. Business survey data: Do they help in forecasting GDP growth?. International Journal of Forecasting 2005, 21:377-389.
39. Harvey D., Leybourne S., Newbold P. Testing the equality of mean squared errors. International Journal of Forecasting 1997, 13:281-291.
40. Hendry D.F. Predictive failure and econometric modelling in macro-economics: The transactions demand for money. Economic modelling 1979, Heinemann, London. P. Ormerod (Ed.).
41. Hoover K., Perez S. Data mining reconsidered: Encompassing and the general-to-specific approach to specification search. Econometrics Journal 1999, 2:167-191.
42. Imbs J. Growth and volatility. Journal of Monetary Economics 2006, 54:1848-1862.
43. Ingenito R., Trehan B. Using monthly data to predict quarterly output. Economic Review 1996, 3:3-11.
44. Krolzig H.-M., Hendry D.F. Computer automation of general-to-specific model selection procedures. Journal of Economic Dynamics and Control 2001, 25:831-866.
45. Kuzin V., Marcellino M., Schumacher C. MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area. International Journal of Forecasting 2011, 27(2):529-542.
46. Ladiray, D., & O'Brien, D. (2003). Nowcasting eurozone industrial production. Working papers and studies. European Commission.
47. Marcellino, M., & Schumacher, C. (2008). Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP, Working paper 6708. CEPR.
48. Marnet V. Eigenschaften und Bestimmungsfaktoren von Finanzmarkterwartungen - Eine theoretische und empirische Analyse unter Verwendung der ZEW-Finanzmarkttestdaten 1996, Auflage, Nomos Verlag, Baden-Baden.
49. Mojon, B., & Peersman, G., (2001). A VAR description of monetary policy in the individual countries of the euro area. Working paper no. 92. European Central Bank.
50. Parigi G., Schlitzer G. Quarterly forecasts of the Italian business cycle by means of monthly economic indicators. Journal of Forecasting 1995, 14:117-141.
51. Perez-Amaral T., Gallo G.M., White H. A comparison of complementary automatic modelling methods: RETINA and PcGets. Econometric Theory 2005, 21:262-277.
52. Rünstler, G., & Sédillot, F. (2003). Short-term estimates of GDP by means of monthly data. Working paper no. 176. European Central Bank.
53. Rünstler G., Barhoumi K., Benk S., Cristadoro R., Den Reijer A., Jakaitiene A., Van Nieuwenhuyze C., et al. Short-term forecasting of GDP using large datasets: A pseudo real-time forecast evaluation exercise. Journal of Forecasting 2009, 28:595-611.
54. Ruth K. Macroeconomic forecasting in the EMU: Does disaggregate modeling improve forecast accuracy?. Journal of Policy Modeling 2008, 30:417-429.
55. Schumacher C. Forecasting German GDP using alternative factor models based on large datasets. Journal of Forecasting 2007, 26:271-302.
56. Schumacher C., Breitung J. Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data. International Journal of Forecasting 2008, 24:386-398.
57. Sédillot, F. & Pain, N. (2003). Indicator models of real GDP growth in selected OECD countries. Working paper no. 364. OECD.
58. Stock J., Watson M. Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics 2002, 20:147-162.
59. Stock J., Watson M. Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 2002, 97:1167-1179.
60. Stock J., Watson M. Forecasting with many predictors. Handbook of economic forecasting 2006, Vol. 1. Elsevier, Amsterdam.
61. Valadkhani A. History of macroeconometric modelling: Lessons from past experience. Journal of Policy Modeling 2004, 26:265-281.
62. van Els, P., Locarno, A., Morgan, J., & Villetelle, J.-P. (2001). Monetary policy transmission in the euro area: What do aggregate and national structural models tell us? Economic working papers 433. Bank of Italy, Economic Research Department.
63. Watson M. Macroeconomic forecasting using many predictors. Advances in economics and econometrics, theory and applications: eighth world congress of the econometric society, Vol. III 2003, M. Dewatripont, L. Hansen, S. Turnovsky (Eds.).
64. Zheng, I. Y., & Rossiter, J. (2006). Using monthly indicators to predict quarterly GDP. Working paper no. 2006-26. Bank of Canada.