This paper has updated the assessment of the Commission's forecasts' track record from 1999 by extending the observation period from 1969-1997 to also take into account the forecasts and outcome for the years 1998-2005. This update has also included some further tests on e.g. informational...

The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the...

This paper introduces a statistical model for short-term GDP forecasting based on approximate dynamic factors (Stock and Watson methodology), extracted from a very large number of leading indicators sorted according to their correlations at various lags to euro-area GDP (Sorted Leading...