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Dominique Guégan and Patrick Rakotomarolahy
''A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques''
( 2010, Vol. 30 No.1 )
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.
Keywords: Multivariate k-Nearest Neighbor, Radial Basis Functions, Non-Parametric Forecasts, Economic indicators, GDP, Euro area.
JEL: C1 - Econometric and Statistical Methods: General
C4 - Econometric and Statistical Methods: Special Topics
Manuscript Received : Dec 30 2009 Manuscript Accepted : Feb 10 2010

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