This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author info | Abstract | Publisher info | Download info | Related research | Statistics Banerjee, Anindya
Marcellino, Massimiliano
Masten, Igor
Additional information is available for the following
registered author(s):
We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types of structural change, and compare the relative forecasting performance of factor models and more traditional time series methods. We find that changes in the loading structure of the factors into the variables of interest are extremely important in determining the performance of factor models. We complement the analysis with an empirical evaluation of forecasts for the key macroeconomic variables of the Euro area and Slovenia, for which relatively short samples are officially available and structural changes are likely. The results are coherent with the findings of the simulation exercise, and confirm the relatively good performance of factor-based forecasts in short samples with structural change.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
6706.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Feb 2008Date of revision:
Handle: RePEc:cpr:ceprdp:6706Contact details of provider: Postal: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG Phone: 44 - 20 - 7183 8801 Fax: 44 - 20 - 7183 8820
Order Information: Email:
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: Factor models ; forecasts ; parameter uncertainty ; short samples ; structural change ; time series models ; Other versions of this item:
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
This paper has been announced in the following NEP Reports :
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.: Angelini, Elena & Henry, Jerome & Marcellino, Massimiliano, 2006.
"Interpolation and backdating with a large information set ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 30(12), pages 2693-2724, December.
[Downloadable!] (restricted)
Other versions: James H. Stock & Mark W. Watson, 1998.
"Diffusion Indexes ,"
NBER Working Papers
6702, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Michael Artis & Massimiliano Marcellino, 2001.
"Fiscal forecasting: The track record of the IMF, OECD and EC ,"
Econometrics Journal ,
Royal Economic Society, vol. 4(1), pages S20-S36.
Other versions:
Artis, M. & Marcellino, M., 1999.
"Fiscal Forecasting: the Track Record of the IMF, OECD and EC ,"
Economics Working Papers
eco99/22, European University Institute.
Artis, Michael J & Marcellino, Massimiliano, 1999.
"Fiscal Forecasting: the Track Record of the IMF, OECD, and EC ,"
CEPR Discussion Papers
2206, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Stock, James H. & Watson, Mark W., 2006.
"Forecasting with Many Predictors ,"
Handbook of Economic Forecasting ,
Elsevier.
[Downloadable!] (restricted)
Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2004.
"Forecasting Macroeconomic Variables for the Acceding Countries ,"
Working Papers
260, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
James H. Stock & Mark W. Watson, 1999.
"Forecasting Inflation ,"
NBER Working Papers
7023, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003.
"Macroeconomic forecasting in the Euro area: Country specific versus area-wide information ,"
European Economic Review ,
Elsevier, vol. 47(1), pages 1-18, February.
[Downloadable!] (restricted)
Other versions: West, Kenneth D, 1996.
"Asymptotic Inference about Predictive Ability ,"
Econometrica ,
Econometric Society, vol. 64(5), pages 1067-84, September.
[Downloadable!] (restricted)
Other versions: Breitung, Jörg & Eickmeier, Sandra, 2005.
"Dynamic factor models ,"
Discussion Paper Series 1: Economic Studies
2005,38, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Other versions: Schumacher, Christian, 2005.
"Forecasting German GDP using alternative factor models based on large datasets ,"
Discussion Paper Series 1: Economic Studies
2005,24, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Other versions: Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2005.
"Leading Indicators for Euro-area Inflation and GDP Growth ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 67(s1), pages 785-813, December.
[Downloadable!] (restricted)
Other versions:
Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2003.
"Leading Indicators for Euro-area Inflation and GDP Growth ,"
Working Papers
235, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!] Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2003.
"Leading Indicators for Euro Area Inflation and GDP Growth ,"
CEPR Discussion Papers
3893, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Kapetanios, George & Marcellino, Massimiliano, 2006.
"A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions ,"
CEPR Discussion Papers
5620, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Boivin, Jean & Ng, Serena, 2006.
"Are more data always better for factor analysis? ,"
Journal of Econometrics ,
Elsevier, vol. 132(1), pages 169-194, May.
[Downloadable!] (restricted)
Other versions: Stock J.H. & Watson M.W., 2002.
"Forecasting Using Principal Components From a Large Number of Predictors ,"
Journal of the American Statistical Association ,
American Statistical Association, vol. 97, pages 1167-1179, December.
[Downloadable!] (restricted)
Michael ARTIS & Anindya BANERJEE & Massimiliano MARCELLINO, 2001.
"Factor Forecasts for the UK ,"
Economics Working Papers
ECO2001/15, European University Institute.
[Downloadable!]
Other versions:
Artis, Michael J & Banerjee, Anindya & Marcellino, Massimiliano, 2002.
"Factor Forecasts for the UK ,"
CEPR Discussion Papers
3119, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Michael Artis & Anindya Banerjee & Massimiliano Marcellino, .
"Factor forecasts for the UK ,"
Working Papers
203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!] Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
Journal of the American Statistical Association ,
American Statistical Association, vol. 100, pages 830-840, September.
[Downloadable!] (restricted)
Other versions:
Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003.
"The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting ,"
LEM Papers Series
2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
[Downloadable!] Forni M. & Hallin M., 2003.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
Computing in Economics and Finance 2003
143, Society for Computational Economics.
Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
CEPR Discussion Papers
3432, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Troy Matheson, 2005.
"Factor model forecasts for New Zealand ,"
Reserve Bank of New Zealand Discussion Paper Series
DP2005/01, Reserve Bank of New Zealand.
[Downloadable!]
Other versions:
Matheson, Troy D, 2006.
"Factor Model Forecasts for New Zealand ,"
MPRA Paper
807, University Library of Munich, Germany.
[Downloadable!] Troy D. Matheson, 2006.
"Factor Model Forecasts for New Zealand ,"
International Journal of Central Banking ,
International Journal of Central Banking, vol. 2(2), May.
[Downloadable!] Stock, James H & Watson, Mark W, 2002.
"Macroeconomic Forecasting Using Diffusion Indexes ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(2), pages 147-62, April.
Marcellino, Massimiliano, 2006.
"A Simple Benchmark for Forecasts of Growth and Inflation ,"
CEPR Discussion Papers
6012, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , 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.)
Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2009.
"Forecasting with Factor-Augmented Error Correction Models ,"
Discussion Papers
09-06, Department of Economics, University of Birmingham.
[Downloadable!]
Other versions: Massimiliano Marcellino & Christian Schumacher, 2008.
"Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1 ,"
Working Papers
333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
Other versions:
Massimiliano Marcellino & Christian Schumacher, 2008.
"Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP ,"
Economics Working Papers
ECO2008/16, European University Institute.
[Downloadable!] Marcellino, Massimiliano & Schumacher, Christian, 2007.
"Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP ,"
Discussion Paper Series 1: Economic Studies
2007,34, Deutsche Bundesbank, Research Centre.
[Downloadable!] Marcellino, Massimiliano & Schumacher, Christian, 2008.
"Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP ,"
CEPR Discussion Papers
6708, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Access and
download statistics Did you know? All RePEc services are meant to be be free forever, as they are all run by volunteers.
This page was last updated on 2009-11-25.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .