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Consumer confidence and consumption forecast: a non-parametric approach

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  • Giancarlo Bruno

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Abstract

The consumer confidence index is a highly observed indicator among short-term analysts and news reporters and it is generally considered to convey some useful information about the short-term evolution of consumer expenditure. However, its usefulness in forecasting households consumption is sometimes questioned in empirical studies. A possible weakness can be due to the use of a linear functional form to model the relation between these two variables. Here, in order to overcome this issue, a non-parametric model is used, so that overly restrictive assumptions about the functional form can be avoided. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Giancarlo Bruno, 2014. "Consumer confidence and consumption forecast: a non-parametric approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 37-52, February.
  • Handle: RePEc:kap:empiri:v:41:y:2014:i:1:p:37-52
    DOI: 10.1007/s10663-013-9228-9
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    References listed on IDEAS

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    1. repec:spr:soinre:v:133:y:2017:i:2:d:10.1007_s11205-016-1376-4 is not listed on IDEAS
    2. Oscar Claveria & Enric Monte & Salvador Torra, 2018. "“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”," AQR Working Papers 201801, University of Barcelona, Regional Quantitative Analysis Group, revised Jan 2018.
    3. Rangan Gupta & John W. Muteba Mwamba & Mark E. Wohar, 2016. "The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach," Working Papers 201686, University of Pretoria, Department of Economics.
    4. Stephen Bruestle & W. Mark Crain, 2015. "A mean-variance approach to forecasting with the consumer confidence index," Applied Economics, Taylor & Francis Journals, vol. 47(23), pages 2430-2444, May.

    More about this item

    Keywords

    Consumer confidence; Non-linear models; Forecasting;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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