The paper proposes a short-term forecasting model of Italian economic activity, as measured by GDP figures released quarterly by the national statistical office; the model exploits the information available at different lags and frequencies (namely, quarterly, monthly and fortnightly).
The results show that high-frequency indicators significantly improve the accuracy of the real time forecasts of Italian GDP. Moreover, the proposed model provides a new fortnightly indicator of economic activity which can be used to timely assess GDP dynamics.
Published in 2019 in: Journal of Forecasting, v. 38, 3, pp. 207-221
