Short-Term Forecasting [electronic resource] : Projecting Italian GDPone Quarter to Two Years Ahead / Matteo Iacoviello.
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TextSeries: IMF Working Papers; Working Paper ; No. 01/109Publication details: Washington, D.C. : International Monetary Fund, 2001Description: 1 online resource (23 p.)ISBN: 1451853211 :ISSN: 1018-5941Subject(s): Bayesian Analysis | Bayesian Vector Autoregressions | Business Fluctuations | Correlation | Equation | GDP Growth | ItalyAdditional physical formats: Print Version:: Short-Term Forecasting : Projecting Italian GDPone Quarter to Two Years AheadOnline resources: IMF e-Library | IMF Book Store Abstract: 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
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
Description based on print version record.
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