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Forecasting New Zealand's Real GDP

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Abstract

Recent time series methods are applied to the problem of forecasting New Zealand's real GDP. Model selection is conducted within autoregressive (AR) and vector autoregressive (VAR) classes, allowing for evolution in the form of the models over time. The selections are performed using the Schwarz (1978) BIC and the Phillips-Ploberger (1996) PIC criteria. The forecasts generated by the data-determined AR models and an international VAR model are found to be competitive with forecasts from fixed format models and forecasts produced by the NZIER. Two illustrations of the methodology in conditional forecasting settings are performed with the VAR models. The first provides conditional predictions of New Zealand's real GDP when there is a future recession in the United States. The second gives conditional predictions of New Zealand's real GDP under a variety of profiles that allow for tightening in monetary conditions by the Reserve Bank.

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File URL: http://cowles.econ.yale.edu/P/cd/d12b/d1278.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1278.

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Length: 32 pages
Date of creation: Oct 2000
Date of revision:
Publication status: Published in New Zealand Economic Papers (2000), 34(2): 159-182
Handle: RePEc:cwl:cwldpp:1278

Note: CFP 1020.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Automated modeling; forecasting; PIC model selection; policy analysis; real GDP;

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  1. Peter C.B. Phillips & Werner Ploberger, 1992. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Cowles Foundation Discussion Papers 1017, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C.B. Phillips, 1992. "Bayes Models and Forecasts of Australian Macroeconomic Time Series," Cowles Foundation Discussion Papers 1024, Cowles Foundation for Research in Economics, Yale University.
  3. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  4. Peter C.B. Phillips, 1992. "Bayesian Model Selection and Prediction with Empirical Applications," Cowles Foundation Discussion Papers 1023, Cowles Foundation for Research in Economics, Yale University.
  5. repec:cup:etheor:v:10:y:1994:i:3-4:p:774-808 is not listed on IDEAS
  6. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  7. John C. Chao & Peter C.B. Phillips, 1997. "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers 1155, Cowles Foundation for Research in Economics, Yale University.
  8. Werner Ploberger & Peter C. B. Phillips, 2003. "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, vol. 71(2), pages 627-673, March.
  9. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  10. Phillips, Peter C. B., 1995. "Bayesian prediction a response," Journal of Econometrics, Elsevier, vol. 69(1), pages 351-365, September.
  11. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
  12. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July.
  13. Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March.
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Cited by:
  1. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.

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