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Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting

  • Qin, Duo
  • Cagas, Marie Anne
  • Ducanes, Geoffrey
  • Magtibay-Ramos, Nedelyn
  • Quising, Pilipinas

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File URL: http://www.sciencedirect.com/science/article/B6V92-4SSP71B-1/2/876ed1c3ad40d3d27e24028ca218afbf
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 24 (2008)
Issue (Month): 3 ()
Pages: 399-413

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Handle: RePEc:eee:intfor:v:24:y:2008:i:3:p:399-413
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  2. 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.
  3. Kraay, Aart & Monokroussos, George, 1999. "Growth forecasts using time series and growth models," Policy Research Working Paper Series 2224, The World Bank.
  4. David F. Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Economics Papers 2004-W15, Economics Group, Nuffield College, University of Oxford.
  5. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & He, Xinhua & Liu, Rui & Liu, Shiguo & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2007. "A macroeconometric model of the Chinese economy," Economic Modelling, Elsevier, vol. 24(5), pages 814-822, September.
  6. Bai, Jushan & Ng, Serena, 2007. "Determining the Number of Primitive Shocks in Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 52-60, January.
  7. George Kapetanios, 2002. "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers 466, Queen Mary University of London, School of Economics and Finance.
  8. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  9. Franck S├ędillot & Nigel Pain, 2003. "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers 364, OECD Publishing.
  10. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
  11. 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.
  12. Tao Sun, 2004. "Forecasting Thailand's Core Inflation," IMF Working Papers 04/90, International Monetary Fund.
  13. Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Qin, Duo & Quising, Pilipinas, 2006. "A small macroeconometric model of the Philippine economy," Economic Modelling, Elsevier, vol. 23(1), pages 45-55, January.
  14. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
  15. Michael P. Clements & David F. Hendry, 2002. "Modelling methodology and forecast failure," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 319-344, 06.
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