A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques

Journal article: The aim of this paper is to introduce a new methodology to forecast the monthly economic indicators used in the Gross Domestic Product (GDP) modelling in order to improve the forecasting accuracy. Our approach is based on multivariate k-nearest neighbors method and radial basis function method for which we provide new theoretical results. We apply these two methods to compute the quarter GDP on the Euro-zone, comparing our approach, with GDP obtained when we estimate the monthly indicators with a linear model, which is often used as a benchmark.

Author(s)

Dominique Guegan, Patrick Rakotomarolahy

Journal
  • Economics Bulletin
Date of publication
  • 2010
Keywords
  • Multivariate k-Nearest Neighbor
  • Radial Basis Functions
  • Non-Parametric Forecasts
  • Economic indicators
  • GDP
  • Euro area
Pages
  • 508-518
Version
  • 1
Volume
  • 30