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

its largest member countries that possess the following attributes: relevance, representativeness and

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

at chained volumes, as the most important measure of the level of economic activity. Representativeness

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

the level of economic activity, providing a more or less complete coverage. The indicators are modelled

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

statistical treatment. Computational efficiency is crucial for the estimation of large-scale parametric

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

we apply state-of-the-art state space methods that can handle temporal aggregation, and any pattern of

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: Divisions > Division of Human and Social Sciences > School of Economics
Depositing User: Stefano Grassi
Date Deposited: 09 Jul 2015 14:03 UTC
Last Modified: 04 Jul 2023 12:49 UTC
Resource URI: (The current URI for this page, for reference purposes)

University of Kent Author Information

Grassi, Stefano.

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