Download or read book A Sorted Leading Indicators Dynamic SLID Factor Model for Short run Euro area GDP Forecasting written by Daniel Grenouilleau and published by . This book was released on 2004 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Sorted Leading Indicators Dynamic SLID Factor Model for Short run Euro area GDP Forecasting written by European Communities and published by . This book was released on 2004 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Sorted Leading Indicator Dynamic SLID Factor Model for Short run Euro area GDP Forecasting written by Daniel Grenouilleau and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Short run Euro Area GDP Forecasting with Factor Extraction from Sorted Leading Indicators written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper generalises the technique of short-run forecasting with leading indicator equations to a factor model based on a very large number of variables sorted according to their lead to the euro area GDP growth. Bridge equations are typically subject to a model uncertainty problem in the sense that a handful leading indicators rarely display a stable correlation with a dependent macroeconomic aggregate (here: GDP). These indicators might very well account for the shocks characterising the economy at a certain period, they more rarely do so in the next period when shocks of a different nature hit the economy. In order to correct for this unpleasant phenomenon, all the potential leading indicators available are here used and introduced in a factor model in order to automatically extract a signal cleaned from noise and to try to avoid the cumbersome problem of model selection. Factor models based on very large data are asymptotically robust to changes in the nature of shocks contrary to bridge equations, albeit less so to changes in shocks commonalities.
Download or read book Meeting Our D Stiny A Disaggregated Euro Area Short Term Indicator Model to Forecast GDP Y Growth written by Pablo Burriel and published by . This book was released on 2013 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information available for the euro area and the member countries (around 100 economic indicators), but without incurring in the nite sample problems of the large-scale methods, since all the estimated models are of a small scale.An empirical pseudo-real time application for the period 2004-2013 shows that D€STINY ́s forecasting performance is clearly better than the standard alternative models and than the publicly available forecasts of other institutions. This is especially true for the period since the beginning of the crisis, which suggests that our approach may be more robust to periods of highly volatile data and to the possible presence of structural breaks in the sample.
Download or read book A Sorted Leading Indicators Dynamic SLID Factor Model for Short run Euro area GDP Forecasting written by Daniel Grenouilleau and published by . This book was released on 2004 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recoge: 1.The model - 2.Data selection and processing - 3.Forecast performances - 4.A few remarks about model robustness - 5.Conclusion - 6.References - 7.Annex.
Download or read book The Stacked Leading Indicators Dynamic Factor Model written by and published by . This book was released on 2006 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the first few eigenvectors ordered by descending eigenvalues. A cross-sectional bootstrap experiment is used to shed light on the sensitivity of the factor model to factor selection and to sampling uncertainty. The empirical number of factors seems more appropriately set through an analysis of eigenvalues, bootstrapped eigenvalues or the BIC than with more sophisticated information criteria. Confidence intervals derived from bootstrapped forecasts show the extent to which the data composition can support the hypothesis of business cycle co-movements and the selected factors can account for those shocks. Pseudo real-time out-of-sample forecast experiments conducted with a dataset of about two thousand series covering the euro area business cycle show that the SLID factor model outperforms benchmark models (AR models, leading indicators equations) for one-, two- and three- quarters-ahead forecasts of GDP growth. The accuracy of coincident forecasts compared to final estimates is not significantly different from Eurostat Flash or first estimates and is slightly superior to that of CEPR Eurocoin.
Download or read book On the Design of Data Sets for Forecasting with Dynamic Factor Models written by Gerhard Rünstler and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Stacked Leading Indicators Dynamic Factor Model written by Daniel Grenouilleau and published by . This book was released on 2006 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economic Papers written by and published by . This book was released on 1981 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Using Factor Models to Construct Composite Indicators from BCS Data written by Christian Gayer and published by . This book was released on 2006 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recoge: 1.Introduction. - 2.Industrial Confidence Indicator versus the Business Climate Indicator for the euro area. - 3.Factor models: Theoretical background. - 4.Empirical results for the euro area. - 5.Empirical results for individual Member States. - 6.Overall conclusions and outlook.
Download or read book Long term Labour Productivity and GDP Projections for the EU25 Member States written by Giuseppe Carone and published by . This book was released on 2006 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recoge: 1. Introduction. - 2. Stylised facts about labour productivity growth and its driving forces. - 3. Evaluation of the different approaches for making long-run productivity projections. - 4. Overview of the methodology adopted for the present projections. - 5. Main results of baseline projections. - 6. Sensitive tests on productivity and GDP per capita. - 7. Concluding remarks. - 8. Annexes.
Download or read book The Macroeconomic Effects of a Pandemic in Europe written by Lars Jonung and published by . This book was released on 2006 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Estimated New Keynesian Dynamic Stochastic General Equilibrium Model of the Euro Area written by Marco Ratto and published by . This book was released on 2005 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economic Spillover and Policy Coordination in the Euro Area written by Klaus Weyerstrass and published by . This book was released on 2006 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recoge: Executive symmary. 1. A working definition of spillover. - Part 1: Theory. - 2. A working definition of spillover. - Part 2: Empirical findings. - 3. Budgetary spillover and short-term interest rates. - 4. Budgetary spillover and long-term interest rates. - 5. Budgetary stabilisation and the level of public debt. - 6. Spillover form economic reform. - 7. Macroeconomic and welfare effects of structural and budgetary policies: spillover in the MSG3 model. - Part 3: conclusions. - 8. Summary, recommendations and future research. - Appendix. - References.
Download or read book Proceedings of the 2004 First Annual DG ECFIN Research Conference on Business Cycles and Growth in Europe written by Lars Jonung and published by . This book was released on 2005 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: In October 2004, the Directorate General for Economic and Financial Affairs (ECFIN) held its first annual research conference. Its theme was "Business Cycles and Growth in Europe". The thirteen papers presented are collected here in revised form in two volumes as Economic Paper number 227, 1/2 and 2/2. Some of the contributions are followed by comments made by the discussants.
Download or read book Testing the EU Fiscal Surveillance written by Sven Langedijk and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
