Survey data as coincident or leading indicators

Survey data as coincident or leading indicators

0.00 Avg rating0 Votes
Article ID: iaor20101933
Volume: 29
Issue: 1-2
Start Page Number: 109
End Page Number: 131
Publication Date: Jan 2010
Journal: Journal of Forecasting
Authors: , , ,
Keywords: survey data
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.

Reviews

Required fields are marked *. Your email address will not be published.