Forecasting Industrial Production in the Euro Area |
Contents
FORECASTING INDUSTRIAL PRODUCTION | 7 |
Multivariate forecasting models | 16 |
A disaggregated approach | 25 |
2 other sections not shown
Common terms and phrases
12th lag analysis ARIMA model augmented Dickey-Fuller test autoregressive conditional heteroschedasticity BANCA D'ITALIA Bank of Italy bivariate business confidence index cent significance Chow test cointegration components conditional heteroschedasticity test country-specific indices critical value deterministic Diagnostic checks Diagnostic tests differences differencing distributed lag dummy variables Durbin-Watson statistic Economic error correction Estimate t Estimate Euro area countries euro area output euro index European Commission forecasting ability FORECASTING MODEL forecasting performance France Franses Germany Germany France Italy Granger causality industrial production index Italy and Spain Journal of Econometrics Journal of Forecasting Lagrange multiplier linear trend null number of parameters one-step-ahead forecasts output levels p-value Statistic p-value paragraph Parigi predictive power RESET residual autocorrelation restrictions RMSE seasonal dummy seasonal pattern single countries specification standard errors Statistic p-value Statistic sub-aggregate indicators Sub4 Csmod4 Table test for residual test statistics trend stationary Unit root test univariate vector autoregressive weak exogeneity zero