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A set of state space models at an high disaggregation level to forecast Italian Industrial Production

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  • Corradini, Riccardo

Abstract

Normally econometric models that forecast Italian Industrial Production Index do not exploit pieces of information already available at time t+1 for its own main industry groupings. A new strategy is sketched here using state space models and aggregating the estimates to obtain improved results. The endogenous variables available at time t+1 are Consumption of Electricity, Compressed Natural Gas distributed on its own net, Production of Compressed Natural Gas, Registration of commercial vehicles for Italy, Germany, France and Spain. Unfortunately for the other main industry groupings there are not available variables not prone to high revisions. A new strategy exploiting univariate or bivariate state space models for these time series is used. The issue coming out from holidays taken during Tuesday or Friday will be tackled. How to handle in-sample forecast with different aggregating weights will be considered for the period before the first of January of 2010 where is impossible to use the same structure for the base year 2010.

Suggested Citation

  • Corradini, Riccardo, 2018. "A set of state space models at an high disaggregation level to forecast Italian Industrial Production," MPRA Paper 84558, University Library of Munich, Germany, revised 12 Feb 2018.
    • Handle: RePEc:pra:mprapa:84558
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    File URL: https://mpra.ub.uni-muenchen.de/84558/25/MPRA_paper_84558.pdf
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    References listed on IDEAS

    as
    1. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
    2. Giancarlo Bruno & Claudio Lupi, 2004. "Forecasting industrial production and the early detection of turning points," Empirical Economics, Springer, vol. 29(3), pages 647-671, September.
    3. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
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    More about this item

    Keywords

    Industrial Production Index; forecasting; Vector Autoregressive Models; disaggregation; Kalman filter; unobserved components models;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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