Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting

Autor:	Duo Qin, Pilipinas Quising, Marie Anne Cagas, Geoffrey Ducanes, Nedelyn Magtibay-Ramos
Rok vydání:	2008
Předmět:	Inflation Economic indicator media_common.quotation_subject Disequilibrium Econometrics Economics medicine Business and International Management medicine.symptom media_common
Zdroj:	International Journal of Forecasting. 24:399-413
ISSN:	0169-2070
DOI:	10.1016/j.ijforecast.2008.04.002
Popis:	This paper compares the forecast performance of automatic leading indicators (ALIs) and macroeconometric structural models (MESMs) commonly used by non-academic macroeconomists. Inflation and GDP growth form the forecast objects for comparison, using data from China, Indonesia and the Philippines. ALIs are found to outperform MESMs for one-period-ahead forecasts, but this superiority disappears as the forecast horizon increases. It is also found that ALIs involve greater uncertainty in choosing indicators, mixing data frequencies and utilizing unrestricted VARs. Two ways of reducing the uncertainty are explored: (i) give theory priority in choosing indicators, and include theory-based disequilibrium shocks in the indicator sets; and (ii) reduce the VARs by means of the general-to-specific modeling procedure.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e762ec13e9ea38f4db083b25d4cb5961 https://doi.org/10.1016/j.ijforecast.2008.04.002 Zobrazit plný text záznamu Full Text from ScienceDirect