In this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small-scale factor model for mixed-frequency data, featuring two factors: the first is driven by hard data, whereas the second captures the contribution of survey variables as coincident...

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We develop a new version of the production function (PF) approach for estimating the output gap of the euro area. Assuming a CES (constant elasticity of substitution) technology, our model does not call for any (often imprecise) measure of the capital stock and improves the estimation of the...

This paper evaluates multistep estimation for the purposes of signal extraction, and in particular the separation of the trend from the cycle in economic time series, and long-range forecasting, in the presence of a misspecified, but simply parameterized model. Our workhorse models are two...

It is investigated whether euro area variables can be forecast better based on synthetic time series for the pre-euro period or by using just data from Germany for the pre-euro period. Our forecast comparison is based on quarterly data for the period 1970Q1-2003Q4 for 10 macroeconomic variables....

Predicting the future evolution of GDP growth and inflation is a central concern in economics. Forecasts are typically produced either from economic theory-based models or from simple linear time series models. While a time series model can provide a reasonable benchmark to evaluate the value...