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Six Leading Indexes Of New Zealand Employment

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Author Info
Edda Claus ()
Iris Claus ()

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Abstract

This paper constructs six leading indexes of New Zealand employment and compares their short term forecasting performance. Forecasting New Zealand employment is particularly difficult owing to the volatility of the data and the short sample size of available time series. These restrictions make leading indexes especially appealing. The paper has two aims. The first is to construct an effective forecasting tool. The second is to evaluate leading indexes constructed using different methods available in the literature. The results show that an index constructed using the traditional NBER method dominates in terms of forecasting performance. The results also suggest that increasing the dataset does not strengthen the index and that exogenously determining the weights of component series can add to forecasting performance.

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File URL: http://cama.anu.edu.au/Working%20Papers/Papers/2007/Claus_Claus_172007.pdf
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Publisher Info
Paper provided by Australian National University, Centre for Applied Macroeconomic Analysis in its series CAMA Working Papers with number 2007-17.

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Length: 28 pages
Date of creation: Sep 2007
Date of revision:
Handle: RePEc:acb:camaaa:2007-17

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  1. Marc Brisson & Bryan Campbell & John Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO. [Downloadable!]
  2. Edda Claus, . "Constructing NEO: A Near-term Employment Outlook," Working Papers-Department of Finance Canada 2001-07, Department of Finance Canada. [Downloadable!]
  3. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October. [Downloadable!] (restricted)
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  4. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  5. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November. [Downloadable!] (restricted)
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  6. Edda Claus & Iris Claus, 2002. "How many jobs? A leading indicator model of New Zealand employment," Treasury Working Paper Series 02/13, New Zealand Treasury. [Downloadable!]
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