Analyzing and Forecasting Thai Macroeconomic Data Using Mixed-Frequency Approach

Macroeconomic Forecasting Using Diffusion Indexes

This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor model serves as the statistical framework for the estimation of the indexes and construction of the forecasts. The method is used to construct 6-, 12-, an...

Incorporation of Social Media Data into Macroeconomic Forecast Systems: A Mixed Frequency Modelling Approach

Macroeconomic forecasts enable the policy-makers to foresee the future economic trends and take prompt measures to ensure longer economic growth and quicker economic recovery. Accurate and timely macroeconomic forecasts may also help the enterprises to make better long-term business strategies. Social media has a swift and sensitive response to economic dynamics through online news reports, int...

Forecasting Volatility using High Frequency Data

Analyzing Macroeconomic Forecastability

This paper examines whether recessions and booms are forecastable under the assumption that equity prices, housing prices, import prices, exports, and random shocks are not. Each of the 214 eight-quarter periods within the overall 1954:1–2009:1 period is examined regarding predictions of output growth and in ation. The results for low output growth vary by recession— there is no common pattern....

A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks*

We take a model selection approach to the question of whether a class of adaptive prediction models ("artificial neural networks") are useful for predicting future values of 9 macroeconomic variables. We use a variety of out-of-sample forecast-based model selection criteria including forecast error measures and forecast direction accuracy. Ex ante or real-time forecasting results based on rolli...