Advances in econometric tools to complement official statistics

in the field of Principal European Economic Indicators - 2016 edition

This paper describes some econometric tools which are extensively used in the field of Principal European Economic Indicators (PEEIs) to enhance their relevance and readability for economic and statistical analyses purposes.

The paper presents ongoing activity carried out at Eurostat in the field of Principal European Economic Indicators (PEEIs) on econometric tools for increasing their relevance of short term statistics. Three lines of methodologies are here presented: the first is aimed to increase data timeliness and concerns the framework for nowcasting and density forecast as well as that on coincident indicators. Nowcasting implies a general linear regression as reference model, whereas coincident indicators are based on bridge- and factor-models complemented by intensive application of the LARS algorithm. The second line of research concerns the construction of high frequency indicators of economic activity mainly based on state space models applied to data available at mixed frequency. We present Euro-MIND, the monthly coincident indicator for the euro area, and all its most recent extensions. The last part provides the recent efforts towards the system of coincident turning point indicators for the business cycle, growth cycle and acceleration cycle, through univariate and multivariate Markov-Switching models. We discuss methods and applications to data concerning the euro area. We conclude that all these instruments efficiently complement traditional official statistics in the desired direction, providing a powerful framework for data analysis and diagnosis. Keywords: short term

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