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| Author: | Marcellino, M. Stock, J.H. Watson, M.W. |
| Title: | Macroeconomic forecasting in the Euro area: Country specific versus area-wide information |
| Journal: | European Economic Review
2003 : FEB, VOL. 47:1, p. 1-18 |
| Index terms: | Forecasting Currency Models |
| Language: | eng |
| Abstract: | This paper compares several time series methods for short-run forecasting of Euro-wide (herein: E-w.) and real activity using data from 1982 to 1997. Forecasts are constructed from univariate and vector autoregressions, single equation models that include E-w. and U.S. aggregates, and large-model methods with forecasts based on estimates of common dynamic factors. Aggregate E-w. forecasts are constructed from models utilizing only aggregate E-w. 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. |
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