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Six Leading Indexes Of New Zealand Employment

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  • Edda Claus
  • Iris Claus

Abstract

This paper constructs six leading indexes of New Zealand employment and compares their short term forecasting performance. Forecasting New Zealand employment is particularly difficult owing to the volatility of the data and the short sample size of available time series. These restrictions make leading indexes especially appealing. The paper has two aims. The first is to construct an effective forecasting tool. The second is to evaluate leading indexes constructed using different methods available in the literature. The results show that an index constructed using the traditional NBER method dominates in terms of forecasting performance. The results also suggest that increasing the dataset does not strengthen the index and that exogenously determining the weights of component series can add to forecasting performance.

Suggested Citation

  • Edda Claus & Iris Claus, 2007. "Six Leading Indexes Of New Zealand Employment," CAMA Working Papers 2007-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Handle: RePEc:een:camaaa:2007-17
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2017-02/17_claus_claus_2007.pdf
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    References listed on IDEAS

    as
    1. Edda Claus & Iris Claus, 2002. "How many jobs? A leading indicator model of New Zealand employment," Treasury Working Paper Series 02/13, New Zealand Treasury.
    2. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
    3. Edda Claus, 2011. "Seven Leading Indexes of New Zealand Employment," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 76-89, March.
    4. Edda Claus, "undated". "Constructing NEO: A Near-term Employment Outlook," Working Papers-Department of Finance Canada 2001-07, Department of Finance Canada.
    5. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    6. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
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