EuroMInd-D : a density estimate of monthly gross domestic product for the Euro area

Proietti, Tommaso; Marczak, Martyna; Mazzi, Gianluigi

EuroMInd-D : a density estimate of monthly gross domestic product for the Euro area

dc.contributor.author	Proietti, Tommaso	de
dc.contributor.author	Marczak, Martyna	de
dc.contributor.author	Mazzi, Gianluigi	de
dc.date.accessioned	2024-04-08T08:51:07Z
dc.date.available	2024-04-08T08:51:07Z
dc.date.created	2015-04-09
dc.date.issued	2015
dc.description.abstract	EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom–up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model of a set of coincident time series handling mixed frequencies of observation and ragged–edged data structures. They reflect both parameter and filtering uncertainty and are obtained by implementing a bootstrap algorithm for simulating from the distribution of the maximum likelihood estimators of the model parameters, and conditional simulation filters for simulating from the predictive distribution of GDP. Both algorithms process sequentially the data as they become available in real time. The GDP density estimates for the output and expenditure approach are combined using alternative weighting schemes and evaluated with different tests based on the probability integral transform and by applying scoring rules.	en
dc.identifier.swb	428655300
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/5897
dc.identifier.urn	urn:nbn:de:bsz:100-opus-10689
dc.language.iso	eng
dc.relation.ispartofseries	Hohenheim discussion papers in business, economics and social sciences; 2015,03
dc.rights.license	publ-mit-pod	en
dc.rights.license	publ-mit-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_mit_pod.php
dc.subject	Density forecast combination and evaluation	en
dc.subject	Mixed–frequency data	en
dc.subject	Dynamic factor models	en
dc.subject	State space models	en
dc.subject.ddc	330
dc.subject.gnd	Eurozone	de
dc.subject.gnd	Bruttoinlandsprodukt	de
dc.title	EuroMInd-D : a density estimate of monthly gross domestic product for the Euro area	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.export.bibtex	@techreport{Proietti2015, url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5897}, author = {Proietti, Tommaso and Marczak, Martyna and Mazzi, Gianluigi et al.}, title = {EuroMInd-D : a density estimate of monthly gross domestic product for the Euro area}, year = {2015}, school = {Universität Hohenheim}, series = {Hohenheim discussion papers in business, economics and social sciences}, }
local.export.bibtexAuthor	Proietti, Tommaso and Marczak, Martyna and Mazzi, Gianluigi et al.
local.export.bibtexKey	Proietti2015
local.export.bibtexType	@techreport
local.faculty.number	3	de
local.institute.number	520	de
local.opus.number	1068
local.series.issueNumber	2015,03
local.series.title	Hohenheim discussion papers in business, economics and social sciences
local.university	Universität Hohenheim	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de

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