The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecasts, via recently-introduced measures of predictability and the forecast content, noting the maximum horizon at which the forecasts have value. We then compare diffusion index forecasts with a variety of alternatives, including the forecasts made by the OECD. We find gains in forecast accuracy at short horizons from the diffusion index models, but do not find evidence that the maximum horizon for forecasts can be extended in this way.
Les taux de croissance de production et d'investissements réels sont deux séries macroéconomiques qui sont particulièrement difficiles à prévoir. Nous considérons dans cet article l'application des méthodes d'indice de diffusion à ce problème. Nous commençons avec une caractérisation de la performance des méthodes de prévision standards, via les mesures nouvelles de prévisibilité et la valeur ajoutée des prévisions, en notant l'horizon maximal auquel les prévisions ont de la valeur. Nous comparons les prévisions provenant des indices de diffusion avec les alternatives, incluant les prévisions de l'OCDE. Nous trouvons des gains en précision des prévisions,0501s ne trouvons pas que l'horizon maximal de prévision peut être augmenté.
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
James H. Stock & Mark W. Watson, 1998.
"Diffusion Indexes,"
NBER Working Papers
6702, National Bureau of Economic Research, Inc.
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