Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches
AbstractInnovations state space time series models that encapsulate the exponential smoothing methodology have been shown to be an accurate forecasting tool. These models for the first time are applied to Australian macroeconomic data. In addition new multivariate specifications are outlined and demonstrated to be accurate.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27411.
Date of creation: 13 Dec 2010
Date of revision:
exponential smoothing; state space models; multivariate time series; macroeconomic variables;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-23 (All new papers)
- NEP-ECM-2010-12-23 (Econometrics)
- NEP-FOR-2010-12-23 (Forecasting)
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