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

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  • Qin, Duo
  • Cagas, Marie Anne
  • Ducanes, Geoffrey
  • Magtibay-Ramos, Nedelyn
  • Quising, Pilipinas

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 24 (2008)
Issue (Month): 3 ()
Pages: 399-413

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Handle: RePEc:eee:intfor:v:24:y:2008:i:3:p:399-413

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. Michael P. Clements & David F. Hendry, 2002. "Modelling methodology and forecast failure," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 319-344, 06.
  2. 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.
  3. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2003. "Leading Indicators for Euro Area Inflation and GDP Growth," CEPR Discussion Papers 3893, C.E.P.R. Discussion Papers.
  4. Tao Sun, 2004. "Forecasting Thailand's Core Inflation," IMF Working Papers 04/90, International Monetary Fund.
  5. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  6. Bai, Jushan & Ng, Serena, 2007. "Determining the Number of Primitive Shocks in Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 52-60, January.
  7. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & He, Xinhua & Liu, Rui & Liu, Shiguo & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2007. "A macroeconometric model of the Chinese economy," Economic Modelling, Elsevier, vol. 24(5), pages 814-822, September.
  8. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
  9. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
  10. George Kapetanios, 2002. "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers 466, Queen Mary, University of London, School of Economics and Finance.
  11. Kraay, Aart & Monokroussos, George, 1999. "Growth forecasts using time series and growth models," Policy Research Working Paper Series 2224, The World Bank.
  12. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  13. David F. Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Economics Papers 2004-W15, Economics Group, Nuffield College, University of Oxford.
  14. Franck S├ędillot & Nigel Pain, 2003. "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers 364, OECD Publishing.
  15. Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Qin, Duo & Quising, Pilipinas, 2006. "A small macroeconometric model of the Philippine economy," Economic Modelling, Elsevier, vol. 23(1), pages 45-55, January.
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Citations

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Cited by:
  1. Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland, Institute for Economies in Transition.
  2. Roberto Golinelli & Giuseppe Parigi, 2013. "Tracking world trade and GDP in real time," Temi di discussione (Economic working papers) 920, Bank of Italy, Economic Research and International Relations Area.
  3. Amin Gharipour & Morteza Sameti & Ali Yousefian, 2010. "A Comparative Approximate Economic Behavior Analysis of Support Vector Machines and Neural Networks Models," Iranian Economic Review, Economics faculty of Tehran university, vol. 15(2), pages 17-40, spring.
  4. Kaaresvirta, Juuso & Mehrotra, Aaron, 2008. "Business surveys and inflation forecasting in China," BOFIT Discussion Papers 22/2008, Bank of Finland, Institute for Economies in Transition.

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