Macroeconomic Forecasting Using Pooled International Data

It has long been recognized that national economies are economically interdependent [see, e.g., Burns and Mitchell (1946) for evidence of comovements of business activity in several countries and Zarnowitz (1985) for a summary of recent evidence]. Recognition of such interdependence raises the question, Can such interdependence be exploited econometrically to produce improved forecasts of countries' macroeconomic variables such as rates of growth of output, and so forth? This is the problem that we address in this article, using annual and quarterly data for a sample of European Economic Community (EEC) countries and the United States.

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