Early estimates of GDP growth rates by error correction models : 2016 edition

This paper investigates the use of error correction models to estimate coincident GDP quarterly growth rates. We have carried out this investigation, for the euro area and the five main countries (Germany, France, Italy, Spain, and the Netherlands). We have found no cointegration relation for Italy and Spain, and so we have run usual bridge models. Pseudo real time simulations are provided for each country and the euro area. Finally, two euro area GDP growth rates estimates are compared: one produced directly by the euro area error correction model, with one provided indirectly by aggregating the estimates for the five countries.