Heuristic model selection for leading indicators in Russia and Germany
AbstractBusiness tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified and estimated to construct forecasts. As the potential number of lags included is large, we compare full–specified VAR models with subset models obtained using a Genetic Algorithm enabling ’holes’ in multivariate lag structures. The problem is complicated by the fact that a structural break and seasonal variation of indicators have to be taken into account. The models allow for a comparison of the dynamic adjustment and the forecasting performance of the leading indicators for both
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Bibliographic InfoPaper provided by COMISEF in its series Working Papers with number 046.
Length: 30 pages
Date of creation: 27 Jan 2011
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Web page: http://www.comisef.eu
Leading indicators; business cycle forecasts; VAR; model selection; genetic algorithms.;
Other versions of this item:
- Ivan Savin & Peter Winker, 2012. "Heuristic model selection for leading indicators in Russia and Germany," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2012(2), pages 67-89.
- Ivan Savin & Peter Winker, 2011. "Heuristic model selection for leading indicators in Russia and Germany," MAGKS Papers on Economics 201101, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-05 (All new papers)
- NEP-CMP-2011-02-05 (Computational Economics)
- NEP-ECM-2011-02-05 (Econometrics)
- NEP-FOR-2011-02-05 (Forecasting)
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- Anna Staszewska-Bystrova, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(5-6), pages 680-690, October.
- Roberto Baragona & Domenico Cucina, 2013. "Multivariate Self-Exciting Threshold Autoregressive Modeling by Genetic Algorithms," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(1), pages 3-21, January.
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