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Research > Macro & Forecasting > [WP07/2014] Forecasting EU Economic Activity Using Summary Indicators 

[WP07/2014] Forecasting EU Economic Activity Using Summary Indicators


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Forecasting EU Economic Activity Using Summary Indicators

George Kapetanios, Massimilano Marcellino & Fotis Papailias

quantf research Working Paper Series: WP07/2014

Abstract. This paper analyses the forecasting ability of economic summary indicators in EU economies. We employ the use of Partial Least Squares and Bayesian Shrinkage Regression methods and we predict the growth rates of quarterly GDP and Consumption and monthly Industrial Production. We find evidence that these methods result in better short term forecasts.

Keywords. Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators

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F. Papailias - D. Thomakos, (c) 2014
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