The seminar will be held in the Visitor Centre at 3:15 pm.
Gabriel Perez Quiros (Banco de Espana, Spain )
Abstract
We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data set, we show that our simple factor model algorithm, which uses a clear, easy-to-replicate methodology, is able to forecast the euro area GDP growth as well as professional forecasters who can combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide examples showing how data revisions and data availability a¤ect point forecasts and forecast uncertainty.
Keywords: Business Cycles, Output Growth, Time Series.
JEL Classification: E32, C22, E27