Resource title

Forecasting Euro area real GDP: optimal pooling of information

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Resource description

This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of information approach outperforms alternative forecasting methods in terms of forecast accuracy.

Resource author

Oliver Hülsewig, Johannes Mayr, Timo Wollmershäuser

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26416

Resource license

Adapt according to the presented license agreement and reference the original author.