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.
N1 - Funding Information:
We would like to thank Fabio Canova, Vitor Gaspar, Jordi Gali, Jerome Henry, Ricardo Mestre, Lucrezia Reichlin, two referees, and seminar participants at the European Central Bank, the Bank of England, the Bank of Spain, and at the CEPR-ESSIM Conference (May 2000) for helpful comments on an earlier draft of this paper. This research was supported in part by National Science Foundation grant no. SBR-9730489 and by the Center for European Studies at Harvard University.
Copyright:
Copyright 2004 Elsevier Science B.V., Amsterdam. All rights reserved.
PY - 2003/2
Y1 - 2003/2
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 -