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Forecasting the global electronics cycle with leading indicators: A Bayesian VAR approach

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  • Chow, Hwee Kwan
  • Choy, Keen Meng

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  • Chow, Hwee Kwan & Choy, Keen Meng, 2006. "Forecasting the global electronics cycle with leading indicators: A Bayesian VAR approach," International Journal of Forecasting, Elsevier, vol. 22(2), pages 301-315.
  • Handle: RePEc:eee:intfor:v:22:y:2006:i:2:p:301-315
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    1. Giannetti, M., 2000. "Banking System, International Investors and Central Bank Policy in Everging Markets," Papers 369, Banca Italia - Servizio di Studi.
    2. Shoesmith, Gary L., 1995. "Multiple cointegrating vectors, error correction, and forecasting with Litterman's model," International Journal of Forecasting, Elsevier, pages 557-567.
    3. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of a Modified Dickey-Fuller Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(3), pages 411-419, August.
    4. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-783, August.
    5. Lars-Erik Öller & Lasse Koskinen, 2004. "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 197-214.
    6. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    7. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    8. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, pages 1-27.
    9. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, pages 281-291.
    10. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, pages 143-159.
    11. Victor Zarnowitz, 1992. "Business Cycles: Theory, History, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number zarn92-1.
    12. West, Kenneth D. & Edison, Hali J. & Cho, Dongchul, 1993. "A utility-based comparison of some models of exchange rate volatility," Journal of International Economics, Elsevier, vol. 35(1-2), pages 23-45, August.
    13. Veloce, William, 1996. "An evaluation of the leading indicators for the Canadian economy using time series analysis," International Journal of Forecasting, Elsevier, pages 403-416.
    14. LeSage, James P, 1990. "A Comparison of the Forecasting Ability of ECM and VAR Models," The Review of Economics and Statistics, MIT Press, pages 664-671.
    15. Giuseppe Parigi & Roberto Golinelli & Giorgio Bodo, 2000. "Forecasting industrial production in the Euro area," Empirical Economics, Springer, pages 541-561.
    16. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    17. Giuseppe Parigi & Roberto Golinelli & Giorgio Bodo, 2000. "Forecasting industrial production in the Euro area," Empirical Economics, Springer, pages 541-561.
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    Citations

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    Cited by:

    1. Hwee Kwan Chow & Keen Meng Choy, 2008. "Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Economic Growth Centre Working Paper Series 0802, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    2. Sarantis Tsiaplias & Chew Lian Chua, 2010. "Forecasting Australian Macroeconomic Variables Using A Large Dataset," Australian Economic Papers, Wiley Blackwell, pages 44-59.
    3. James Roumasset, 2010. "Wither the Economics of Agricultural Development?," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 7(1), pages 1-22, June.
    4. Pascual, Lorenzo & Ruiz, Esther & Fresoli, Diego, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy : A Dynamic Factor Model for Singapore," Macroeconomics Working Papers 22074, East Asian Bureau of Economic Research.
    6. Byron Gangnes & Ari Van Assche, 2010. "Global Production Networks in Electronics and Intra-Asian Trade," LICOS Discussion Papers 25710, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
    7. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, "undated". "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    8. repec:eee:intfor:v:33:y:2017:i:4:p:833-847 is not listed on IDEAS
    9. Aubry, Mathilde & Renou-Maissant, Patricia, 2014. "Semiconductor industry cycles: Explanatory factors and forecasting," Economic Modelling, Elsevier, vol. 39(C), pages 221-231.
    10. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and forecasting business cycles in a small open economy: A dynamic factor model for Singapore," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, pages 19-41.
    11. Chew Lian Chua & Sarantis Tsiaplias, 2009. "Can consumer sentiment and its components forecast Australian GDP and consumption?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 698-711.

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