Seven Leading Indexes of New Zealand Employment
AbstractThis article constructs seven leading indexes of New Zealand employment and assesses their relative usefulness in terms of forecasting quarterly employment growth. Leading indexes have been widely used since their introduction in the late 1930s. One construction method dominated until academic research interest into alternative techniques re-appeared in the late 1980s. What has been missing so far in the literature is a thorough comparison of old and new techniques in terms of forecasting performance. This article is a step in that direction. The methods covered here reflect varying degrees of technical sophistication, ranging from simple scoring of changes to relying on frequency domain methods to extract dynamic latent factors from a large dataset. The results show that no single index dominates in terms of forecasting employment growth one to four quarters ahead. This suggests that relying on a suite of models may be the optimal forecasting strategy.
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Bibliographic InfoArticle provided by The Economic Society of Australia in its journal Economic Record.
Volume (Year): 87 (2011)
Issue (Month): 276 (March)
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Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- J21 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Force and Employment, Size, and Structure
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- Edda Claus & Iris Claus, 2007. "Six Leading Indexes Of New Zealand Employment," CAMA Working Papers 2007-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Edda Claus & Chew Lian Chua & G. C. Lim, 2011. "Regional Indexes of Activity: Combining the Old with the New," Melbourne Institute Working Paper Series wp2011n15, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
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