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Forecasting macroeconomic variables using disaggregate survey data

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Abstract

We assess the forecast ability of Norges Bank’s regional survey for inflation, GDP growth and the unemployment rate in Norway. We propose several factor models based on regional and sectoral information given by the survey. The analysis identifies which information extracted from the ten sectors and the seven regions performs particularly well at forecasting different variables and horizons. Results show that several factor models beat an autoregressive benchmark in forecasting inflation and unemployment rate. However, the factor models are most successful in forecasting GDP growth. Forecast combinations based on past performance give in most cases more accurate forecasts than the benchmark, but they never give the most accurate forecasts.

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File URL: http://www.norges-bank.no/en/Published/Papers/Working-Papers/2011/WP-201104/
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Bibliographic Info

Paper provided by Norges Bank in its series Working Paper with number 2011/04.

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Length: 35 pages
Date of creation: 11 Apr 2011
Date of revision:
Handle: RePEc:bno:worpap:2011_04

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Keywords: Keywords: Factor models; macroeconomic forecasting; qualitative survey data.;

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Cited by:
  1. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
  2. Robert Lehmann & Antje Weyh, 2014. "Forecasting employment in Europe: Are survey results helpful?," Ifo Working Paper Series Ifo Working Paper No. 182, Ifo Institute for Economic Research at the University of Munich.

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