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A0653
Title: A daily indicator of economic growth Authors:  Claudia Foroni - Norges Bank (Norway) [presenting]
Gian Luigi Mazzi - Independent Expert (Luxembourg)
Fabrizio Venditti - Queen Mary University of London (United Kingdom)
Valentina Aprigliano - Bank of Italy (Italy)
M. Marcellino - Bocconi University (Italy)
Abstract: Alternative methods to construct a daily indicator of growth are studied. We aim for an indicator that (i) provides reliable predictions (ii) can be easily updated at the daily frequency (iii) gives interpretable signals. Using a large panel of daily and monthly data for the Euro area we explore the performance of three classes of models: bridge, MIDAS and UMIDAS models and different forecast combination strategies. Forecasts obtained from UMIDAS models, combined with inverse MSE weights, best satisfy the required criteria.