Papers by Peter Welz ecb.europa.eu - get the latest breaking news, showbiz & celebrity photos, sport news & rumours, viral videos and top stories from ecb.europa.eu Daily Mail and Mail on Sunday newspapers.
Papers by Kai Christoffel ecb.europa.eu - get the latest breaking news, showbiz & celebrity photos, sport news & rumours, viral videos and top stories from ecb.europa.eu Daily Mail and Mail on Sunday newspapers.
Authors ecb.europa.eu - get the latest breaking news, showbiz & celebrity photos, sport news & rumours, viral videos and top stories from ecb.europa.eu Daily Mail and Mail on Sunday newspapers.
Abstract
We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find that surveys and financial data contain important information beyond the monthly real activity measures for the GDP forecasts. However, this is discovered only, if their more timely publication is properly taken into account. Differences in publication lags play a very important role and should be considered in forecast evaluation.
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