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A monthly indicator of employment in the euro area: real time analysis of indirect estimates

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  • Moauro, Filippo

Abstract

The paper presents the results of an extensive real time analysis of alternative model-based approaches to derive a monthly indicator of employment for the euro area. In the experiment the Eurostat quarterly national accounts series of employment is temporally disaggregated using the information coming from the monthly series of unemployment. The strategy benefits of the contribution of the information set of the euro area and its 6 larger member states, as well as the split into the 6 sections of economic activity. The models under comparison include univariate regressions of the Chow and Lin' type where the euro area aggregate is directly and indirectly derived, as well as multivariate structural time series models of small and medium size. The specification in logarithms is also systematically assessed. The largest multivariate setups, up to 49 series, are estimated through the EM algorithm. Main conclusions are the following: mean revision errors of disaggregated estimates of employment are overall small; a gain is obtained when the model strategy takes into account the information by both sector and member state; the largest multivariate setups outperforms those of small size and the strategies based on classical disaggregation methods.

Suggested Citation

  • Moauro, Filippo, 2010. "A monthly indicator of employment in the euro area: real time analysis of indirect estimates," MPRA Paper 27797, University Library of Munich, Germany, revised 30 Dec 2010.
    • Handle: RePEc:pra:mprapa:27797
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    References listed on IDEAS

    as
    1. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010. "Survey data as coincident or leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    temporal disaggregation methods; multivariate structural time series models; mixed-frequency models; EM algorithm; Kalman filter and smoother;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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