Macroeconomic forecasting in the Euro area: Country specific versus area-wide information

By Massimiliano Marcellino, James H. Stock, Mark W. Watson. 2003

475 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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Citations in the corpus

Diffusion Index-Based Inflation Forecasts for the Euro Area (2002, methodology): “The approach initiated by Stock and Watson (1998) is being applied in a number of related studies, examples of which for the euro area are Marcellino et al. (2000) or Angelini et al. (2001).”
Forecasting Euro Area Inflation: Does Aggregating Forecasts by Hicp Component Improve Forecast Accuracy? (2003, unknown): “Rose (1977) for ARIMA processes, Lippi & Forni (1990) for ARMAX models and Nijman & Sentana (1996) for GARCH models).”
Forecasting the Path of China's CO2 Emissions Using Province Level Information (2007, background): “We estimate all models putting zero weight on 1998, as well as 1998 and 1999 for the specifications containing lagged dependent variables, and obtain almost identical results. is sufficient heterogeneity in the time series across provinces (Marcellino et al., 2003).”
Nowcasting: the real time informational content of macroeconomic data releases (2008, background): “…have shown that these models are successful in this regard (Boivin and Ng, 2005; Forni et al., 2005b; D’Agostino and Giannone, 2006; Giannone et al., 2004; Marcellino et al., 2003; Stock and Watson 2002a, b), but FMs have not been used specifically for the problem of nowcasting in real time.”
Bayesian VARs with large panels (2007, result): “…models has also shown that large information helps in forecasting (Bernanke and Boivin, 2003; Boivin and Ng, 2005; D’Agostino and Giannone, 2006; Forni, Hallin, Lippi, and Reichlin, 2005, 2003; Giannone, Reichlin, and Sala, 2004; Marcellino, Stock, and Watson, 2003; Stock and Watson, 2002a,b).”
Monetary Policy in a Monetary Union: What Role for Regional Information? (2008, background): “This metric can usefully complement a statistical approach at assessing the relevance of heterogeneities, such as that proposed in the literature on aggregation (see, e.g., Pesaran, Pierse, and Kumar 1989 and Marcellino, Stock, and Watson 2003 ).”
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models (2007, methodology): “The second DGP is motivated by recent work on the predictive content of factor indexes of economic activity for output growth (examples include Stock and Watson, 2002, 2004; Marcellino et al., 2003; Shintani, 2005).”
Leading Indicators for Euro-area Inflation and GDP Growth (2005, unknown): “None of the Euro-area factors work well, which is in line with the finding in Marcellino et al. (2003) that factors work better for nominal than for real variables, in contrast with the US, see also Stock and Watson (1998), Banerjee and Marcellino (2003).”
Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis (2012, methodology): “Marcellino et al. (2003) compare several forecasting models for euro area forecasts of the industrial production index and conclude that (aggregated) univariate forecasts perform better than in a multivariate setting.”