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Abstract Details
Activity Number:
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477
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #302722 |
Title:
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Euromind: Main Features, Achievements, and Future Challenges
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Author(s):
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Gian Luigi Mazzi*+ and Cecilia Frale and Massimiliano Marcellino and Tommaso Proietti
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Companies:
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EUROSTAT and Italian Ministry of the Economy and Finance and European University Institute and Universitá di Roma Tor Vergata
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Address:
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Bech Building, 5, Rue Alphonse Weicker, Luxembourg, International, L-2721, Luxembourg
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Keywords:
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temporal disaggregation ;
dynamic factor model ;
coincident indicator ;
state space methods ;
national accounts ;
chain-linking
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Abstract:
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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.
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