Short-Term Forecasting: Projecting Italian GDPone Quarter to Two Years Ahead
August 1, 2001
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Summary
This paper presents a "bridge model" for short-run (one or two quarters ahead) forecasting of Italian GDP, relying on industrial production and survey indicators as key variables that can help in providing a real-time first GDP estimate. For a one- to two-year horizon, it formulates and estimates a Bayesian VAR (BVAR) model of the Italian economy. Both the "bridge" and the BVAR model can be of great help in supplementing traditional judgmental or structural econometric forecasts. Given their simplicity and their good forecasting power, the framework may be usefully extended to other variables as well as to other countries
Subject: Cyclical indicators, Econometric analysis, Economic growth, GDP forecasting, Industrial production, National accounts, Production, Production index, Vector autoregression
Keywords: Bayesian Vector Autoregressions, Cyclical indicators, Forecasting, GDP, GDP estimate, GDP forecast, GDP forecasting, GDP growth, growth forecast, growth YOY, Industrial production, leading indicators, Production index, Vector autoregression, WP
Pages:
23
Volume:
2001
DOI:
Issue:
109
Series:
Working Paper No. 2001/109
Stock No:
WPIEA1092001
ISBN:
9781451853216
ISSN:
1018-5941
