Normally econometric models that forecast Italian Industrial Production
Index do not exploit pieces of information already available at time t+1
for its own main industry groupings. A new strategy is sketched here
using state space models and aggregating the estimates to obtain improved
results. The endogenous variables available at time t+1 are Consumption of
Electricity, Compressed Natural Gas distributed on its own net, Production
of Compressed Natural Gas, Registration of commercial vehicles for Italy,
Germany, France and Spain. Unfortunately for the other main industry
groupings there are not available variables not prone to high revisions. A new
strategy exploiting univariate or bivariate state space models for these time
series is used. The issue coming out from holidays taken during Tuesday
or Friday will be tackled. How to handle in-sample forecast with different
aggregating weights will be considered for the period before the first of
January of 2010 where is impossible to use the same structure for the base
year 2010