SFB 649 Discussion Paper 2006-065 Forecasting Euro-Area Variables with German Pre-EMU Data Ralf Brüggemann* Helmut Lütkepohl** Massimiliano Marcellino*** * Department of Economics, Humboldt-Universität zu Berlin, Germany ** Department of Economics,...

In this paper we assess the possibility of producing unbiased forecasts for fiscal variables in the euro area by comparing a set of procedures that rely on different information sets and econometric techniques. In particular, we consider ARMA models, VARs, small scale semi-structural models at...

In this Paper we evaluate the relative performance of linear, non-linear and time-varying models for about 500 macroeconomic variables for the countries in the Euro area, using a real-time forecasting methodology. It turns out that linear models work well for about 35% of the series under...