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Forecasting Euro-area macroeconomic variables using a factor model approach for backdating

[working paper]

Brüggemann, Ralf; Zeng, Jing

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Corporate Editor Universität Konstanz, Center for Quantitative Methods and Survey Research (CMS)
Abstract "We suggest to use a factor model based backdating procedure to construct historical Euro-area macroeconomic time series data for the pre-Euro period. We argue that this is a useful alternative to standard contemporaneous aggregation methods. The paper investigates for a number of Euro-area variables whether forecasts based on the factorbackdated data are more precise than those obtained with standard area-wide data. A recursive pseudo-out-of-sample forecasting experiment using quarterly data and a forecasting period 2000Q1-2007Q4 is conducted. Our results suggests that some key variables (e.g. real GDP and in ation) can indeed be forecasted more precisely with the factor-backdated data." (author's abstract)
Keywords forecast procedure; time series; data; macroeconomics; factor analysis; EEMU; structural analysis; economic integration; European market; structural change; Federal Republic of Germany; method; historical analysis; aggregation
Classification Sociology of Economics; National Economy; Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Document language English
Publication Year 2010
City Konstanz
Page/Pages 27 p.
Series CMS Discussion Paper, 4
Status Published Version
Licence Deposit Licence - No Redistribution, No Modifications
data provider This metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne