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Forecasting Accuracy of the Ifo Business Survey – Influence of New Seasonal Adjustment with X-13ARIMA-SEATS

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  • Steffen Henzel

Abstract

This article investigates the influence of the switch to in the seasonal adjustment procedure from the ASA-II procedure to the X-13ARIMA-SEATS method on the forecasting accuracy of the Ifo indicators.

Suggested Citation

  • Steffen Henzel, 2015. "Forecasting Accuracy of the Ifo Business Survey – Influence of New Seasonal Adjustment with X-13ARIMA-SEATS," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(01), pages 59-63, January.
    • Handle: RePEc:ces:ifosdt:v:68:y:2015:i:01:p:59-63
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    File URL: https://www.ifo.de/DocDL/ifosd_2015_01_09.pdf
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    References listed on IDEAS

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    1. Flaig, Gebhard, 2003. "Seasonal and Cyclical Properties of Ifo Business Test Variables," Munich Reprints in Economics 20379, University of Munich, Department of Economics.
    2. Flaig Gebhard, 2003. "Seasonal and Cyclical Properties of Ifo Business Test Variables / Saisonale und zyklische Eigenschaften von ifo Konjunkturtest Variablen," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 223(5), pages 556-570, October.
    3. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    4. Stefan Sauer & Klaus Wohlrabe, 2015. "Seasonal Adjustment in the Ifo Business Survey – Conversion to the X-13ARIMA-SEATS Procedure," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(01), pages 32-42, January.
    5. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    6. Steffen Henzel & Sebastian Rast, 2013. "Forecasting Properties of Indicators for Predicting GDP Growth in Germany," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(17), pages 39-46, September.
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    Cited by:

    1. Stefan Sauer & Klaus Wohlrabe, 2020. "ifo Handbuch der Konjunkturumfragen," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 88.
    2. Wolfgang Nierhaus & Klaus Abberger, 2015. "ifo Konjunkturampel Revisited," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(05), pages 27-32, March.
    3. Stefan Sauer & Klaus Wohlrabe, 2015. "Seasonal Adjustment in the Ifo Business Survey – Conversion to the X-13ARIMA-SEATS Procedure," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(01), pages 32-42, January.
    4. Wolfgang Nierhaus & Timo Wollmershäuser, 2016. "ifo Konjunkturumfragen und Konjunkturanalyse: Band II," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 72.

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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