Short-Term Forecasting: Projecting Italian GDP, One Quarter to Two Years Ahead

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Short-Term Forecasting: Projecting Italian GDP, One Quarter to Two Years Ahead

Author Info

Matteo Iacoviello

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Matteo Iacoviello

Abstract

This paper presents a "bridge model" for short-run (one or two quarters ahead) forecasting of Italian GDP, relying on industrial production and survey indicators as key variables that can help in providing a real-time first GDP estimate. For a one- to two-year horizon, it formulates and estimates a Bayesian VAR (BVAR) model of the Italian economy. Both the "bridge" and the BVAR model can be of great help in supplementing traditional judgmental or structural econometric forecasts. Given their simplicity and their good forecasting power, the framework may be usefully extended to other variables as well as to other countries

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 01/109.

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Length: 23 pages
Date of creation: 06 Sep 2001
Date of revision:
Handle: RePEc:imf:imfwpa:01/109

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis. [Downloadable!]
Other versions:
- Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
Timothy Cogley & James M. Nason, 1993. "Output dynamics in real business cycle models," Working Papers in Applied Economic Theory 93-10, Federal Reserve Bank of San Francisco.
Other versions:
- Cogley, T. & Nason, J.M., 1994. "Output Dynamics in Real Business Cycle Models," UBC Departmental Archives 94-28, UBC Department of Economics.
- Cogley, Timothy & Nason, James M, 1995. "Output Dynamics in Real-Business-Cycle Models," American Economic Review, American Economic Association, vol. 85(3), pages 492-511, June. [Downloadable!] (restricted)

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This page was last updated on 2009-10-21.

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