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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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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
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  1. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Xinhua He & Rui Liu & Shiguo Liu & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2006. "A Macroeconometric Model of the Chinese Economy," Working Papers 553, Queen Mary University of London, School of Economics and Finance.
  2. 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.
  3. 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.
  4. 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.
  5. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
  6. David Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Economics Series Working Papers 2004-W15, University of Oxford, Department of Economics.
  7. Tao Sun, 2004. "Forecasting Thailand’s Core Inflation," IMF Working Papers 04/90, International Monetary Fund.
  8. Kraay, Aart & Monokroussos, George, 1999. "Growth forecasts using time series and growth models," Policy Research Working Paper Series 2224, The World Bank.
  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. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
  11. 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.
  12. Franck Sédillot & Nigel Pain, 2003. "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers 364, OECD Publishing.
  13. 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.
  14. Michael P. Clements & David F. Hendry, 2002. "Modelling methodology and forecast failure," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 319-344, 06.
  15. 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.
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