Forecasting Euro‐Area Macroeconomic Variables Using a Factor Model Approach for Backdating
提出用因子模型回溯法构建欧元区历史宏观数据，发现对实际GDP、通胀和长期利率等关键变量的预测比标准数据更精准。
Abstract We suggest to use a factor model based backdating procedure to construct historical Euro‐area macroeconomic time series data for the pre‐Euro period. We argue that this is a useful alternative to standard contemporaneous aggregation methods. The article investigates for a number of Euro‐area variables whether forecasts based on the factor‐backdated data are more precise than those obtained with standard area‐wide data. A recursive pseudo‐out‐of‐sample forecasting experiment using quarterly data is conducted. Our results suggest that some key variables (e.g. real GDP, inflation and long‐term interest rate) can indeed be forecasted more precisely with the factor‐backdated data.