Euromind: Main Features, Achievements, and Future Challenges

• Activity Number: 477
• Type: Contributed
• Date/Time: Wednesday, August 3, 2011 : 8:30 AM to 10:20 AM
• Sponsor: Business and Economic Statistics Section
• Author(s): Gian Luigi Mazzi*+ and Cecilia Frale and Massimiliano Marcellino and Tommaso Proietti
• Companies: EUROSTAT and Italian Ministry of the Economy and Finance and European University Institute and Universitá di Roma Tor Vergata
• Keywords: temporal disaggregation ; dynamic factor model ; coincident indicator ; state space methods ; national accounts ; chain-linking

Abstract

EuroMIND is a monthly indicator of economic activity for the Euro Area. It provides an estimate of GDP based on temporal disaggregation of quarterly National Accounts estimates, within a set of linked medium-size dynamic factor models for a set of coincident indicators. Main features are the following: first it considers both the output and the expenditure sides of GDP, combining the two estimates with optimal weights; second, monthly and quarterly information is modelled in a unique state-space setup; third, it pays attention to computational efficiency, implementing univariate filtering and smoothing procedures; finally, chain linking and its implications is taken into account. From its original development EuroMIND has been extended over several directions: EuroMIND-S, which includes business survey indicators in a separate factor from other indicators for increasing the now-casting properties; EuroMIND-C, which extends the estimates at member state level; EuroMIND-B proposing estimates over the historical period staring from January 1971; and EuroMIND-G which aims at providing an estimate of potential output and output gap for the Euro area.