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Forecasting Chilean Industrial Production and Sales with Automated Procedures

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Author Info
Rómulo Chumacero

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Abstract

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every forecasting horizon.

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Publisher Info
Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 260.

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Date of creation: May 2004
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Handle: RePEc:chb:bcchwp:260

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  1. B. Siliverstovs & D.J. Van Dijk, 2003. "Forecasting industrial production with linear, nonlinear and structural change models," Econometric Institute Report 321, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  2. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  3. Patton, Andrew J & Timmermann, Allan G, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94. [Downloadable!] (restricted)
  5. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, vol. 17(1), pages 57-69. [Downloadable!] (restricted)
  6. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September. [Downloadable!] (restricted)
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  7. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  8. Inoue, Atsushi & Kilian, Lutz, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  9. Chung-Ming Kuan & Halbert White, 1992. "Artificial Neural Networks: An Econometric Perspective," University of California at San Diego, Economics Working Paper Series 92-11, Department of Economics, UC San Diego.
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  10. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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