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A non-parametric method to nowcast the Euro Area IPI

Author

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  • Laurent Ferrara

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, DGEI-DAMEP - Banque de France)

  • Thomas Raffinot

    (CPR-Asset Management - CPR Asset Management)

Abstract

Non-parametric methods have been empirically proved to be of great interest in the statistical literature in order to forecast stationary time series, but very few applications have been proposed in the econometrics literature. In this paper, our aim is to test whether non-parametric statistical procedures based on a Kernel method can improve classical linear models in order to nowcast the Euro area manufacturing industrial production index (IPI) by using business surveys released by the European Commission. Moreover, we consider the methodology based on bootstrap replications to estimate the confidence interval of the nowcasts.

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  • Laurent Ferrara & Thomas Raffinot, 2008. "A non-parametric method to nowcast the Euro Area IPI," Post-Print halshs-00275769, HAL.
    • Handle: RePEc:hal:journl:halshs-00275769
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00275769
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    References listed on IDEAS

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    1. Thomakos, Dimitrios D. & Guerard, John Jr., 2004. "Naive, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance," International Journal of Forecasting, Elsevier, vol. 20(1), pages 53-67.
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    5. Laurent Ferrara, 2007. "Point and interval nowcasts of the Euro area IPI," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 115-120.
    6. Wolfgang Härdle & Philippe Vieu, 1992. "Kernel Regression Smoothing Of Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(3), pages 209-232, May.
    7. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
    8. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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    10. Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 622, European Central Bank.
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    Keywords

    Non-parametric; Kernel; nowcasting; bootstrap; Euro area IPI.; Euro area IPI; Non-paramétrique; noyaux; IPI zone euro.;
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