TY - JOUR
T1 - Macroeconomic forecasting in the Euro area
T2 - Country specific versus area-wide information
AU - Marcellino, Massimiliano
AU - Stock, James H.
AU - Watson, Mark W.
PY - 2003/2/1
Y1 - 2003/2/1
N2 - This paper compares several time series methods for short-run forecasting of Euro-wide inflation and real activity using data from 1982 to 1997. Forecasts are constructed from univariate autoregressions, vector autoregressions, single equation models that include Euro-wide and US aggregates, and large-model methods in which forecasts are based on estimates of common dynamic factors. Aggregate Euro-wide forecasts are constructed from models that utilize only aggregate Euro-wide variables and by aggregating country-specific models. The results suggest that forecasts constructed by aggregating the country-specific models are more accurate than forecasts constructed using the aggregate data.
AB - This paper compares several time series methods for short-run forecasting of Euro-wide inflation and real activity using data from 1982 to 1997. Forecasts are constructed from univariate autoregressions, vector autoregressions, single equation models that include Euro-wide and US aggregates, and large-model methods in which forecasts are based on estimates of common dynamic factors. Aggregate Euro-wide forecasts are constructed from models that utilize only aggregate Euro-wide variables and by aggregating country-specific models. The results suggest that forecasts constructed by aggregating the country-specific models are more accurate than forecasts constructed using the aggregate data.
KW - Aggregation
KW - Factor models
KW - Forecasting
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U2 - 10.1016/S0014-2921(02)00206-4
DO - 10.1016/S0014-2921(02)00206-4
M3 - Article
AN - SCOPUS:0037307624
VL - 47
SP - 1
EP - 18
JO - European Economic Review
JF - European Economic Review
SN - 0014-2921
IS - 1
ER -