Macroeconomic Forecasting Using Diffusion Indexes
نویسندگان
چکیده
منابع مشابه
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...
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Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of ma...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2002
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500102317351921