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EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries

Grassi, Stefano, Proietti, Tommaso, Frale, Cecilia, Marcellino, Massimiliano, Mazzi, Gianluca (2015) EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries. International Journal of Forecasting, 31 (3). pp. 712-738. ISSN 0169-2070. (doi:10.1016/j.ijforecast.2014.08.015) (KAR id:49291)

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Abstract

The paper deals with the estimation of monthly indicators of economic activity for the Euro area and

timeliness. Relevance is determined by comparing our monthly indicators to the gross domestic product

is achieved by considering a very large number of (timely) time series of monthly indicators relating to

using a large-scale parametric factor model. We discuss its specification and provide details of the

factor models of the dimension used in our application (considering about 170 series). To achieve it,

missing values.

Item Type: Article
DOI/Identification number: 10.1016/j.ijforecast.2014.08.015
Uncontrolled keywords: Index of coincident indicators; Temporal disaggregation; Multivariate state space models; Dynamic factor models; Quarterly national accounts
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: Stefano Grassi
Date Deposited: 09 Jul 2015 14:03 UTC
Last Modified: 29 May 2019 14:47 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/49291 (The current URI for this page, for reference purposes)
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