Nonparametric Forecasting of the Manufacturing Output Growth with Firm-level Survey Data
AbstractA large majority of summary indicators derived from the individual responses to qualitative Business Tendency Survey questions (which are mostly three-modality questions) result from standard aggregation and quantification methods. This is typically the case for the indicators called balances of opinion, which are the most currently used in short term analysis and considered by forecasters as explanatory variables in linear models. In the present paper, we discuss a new statistical approach to forecast the manufacturing growth from firm-survey responses. We base our predictions on nonparametric forecasting algorithms inspired by statistical pattern recognition, such as the k- nearest neighbors and random forest regression methods, which are known to enjoy good generalization properties. Our algorithms exploit the heterogeneity of the survey responses, work fast, and allow the treatment of missing values. Starting from a real application on a French data set related to the manufacturing sector, we argue that these procedures lead to significantly better results than more traditional competing methods.
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Bibliographic InfoPaper provided by Institut National de la Statistique et des Etudes Economiques, DESE in its series Documents de Travail de la DESE - Working Papers of the DESE with number g2006-06.
Date of creation: 2006
Date of revision:
Business Tendency Surveys; balance of opinion; short-term forecasting; manufactured production; k-nearest neighbour regression; random forests;
Find related papers by JEL classification:
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
- C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
- E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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