Authors: Valentina Aprigliano; Claudia Foroni; Massimiliano Marcellino; Gianluigi Mazzi; Fabrizio Venditti
Addresses: Bank of Italy, Rome, 00184, Italy ' Norges Bank, Oslo 0151, Norway ' Bocconi University, IGIER and CEPR, Milan, 20136, Italy ' Eurostat, 2721, Luxemburg ' Bank of Italy, Rome, 00184, Italy
Abstract: In this paper, we study alternative methods to construct a daily indicator of growth for the euro area. We aim for an indicator that (i) provides reliable predictions, (ii) can be easily updated at the daily frequency, (iii) gives interpretable signals, and (iv) it is linear. Using a large panel of daily and monthly data for the euro area we explore the performance of two classes of models: bridge and U-MIDAS models, and different forecast combination strategies. Forecasts obtained from U-MIDAS models, combined with the inverse MSE weights, best satisfy the required criteria.
Keywords: nowcasting; mixed-frequency data; daily indicators; economic growth; euro area; forecasting; bridge models; U-MIDAS models; modelling; eurozone.
International Journal of Computational Economics and Econometrics, 2017 Vol.7 No.1/2, pp.43 - 63
Received: 18 Dec 2014
Accepted: 02 Dec 2015
Published online: 12 Oct 2016 *