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

Dominique Guegan (1, 2) , Patrick Rakotomarolahy (1)

1 CES - Centre d'économie de la Sorbonne
2 PSE - Paris School of Economics

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.

Mots clés: Multivariate k-Nearest Neighbor; Radial Basis Functions; Non-Parametric Forecasts; Economic indicators; GDP; Euro area

Domaines: Economies et finances

Dominique Guegan, Patrick Rakotomarolahy. A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques. Economics Bulletin, 2010, 30 (1), pp.508-518. ⟨halshs-00460472⟩