IDEAS home Printed from https://ideas.repec.org/p/ice/wpaper/wp36.html
   My bibliography  Save this paper

Forecasting the Icelandic business cycle using vector autoregressive models

Author

Listed:
  • Bruno Eklund

Abstract

This paper considers the modelling and forecasting of the Icelandic business cycle. The method of selecting monthly variables, coincident and leading, that mimic the cyclical behavior of the quarterly GDP is described. The general business cycle is then modelled by a vector autoregressive, VAR, model. The cyclical behavior of the business cycle is summarized by a composite coincident index, which is based on the root mean squared forecast error over a pseudo out of sample. By applying a bootstrap forecasting procedure, using the estimated VAR model, point and interval forecasts of the composite coincident index are estimated.

Suggested Citation

  • Bruno Eklund, 2007. "Forecasting the Icelandic business cycle using vector autoregressive models," Economics wp36, Department of Economics, Central bank of Iceland.
    • Handle: RePEc:ice:wpaper:wp36
    as

    Download full text from publisher

    File URL: http://www.sedlabanki.is/lisalib/getfile.aspx?itemid=5377
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lebotsa Daniel Metsileng & Ntebogang Dinah Moroke & Johannes Tshepiso Tsoku, 2018. "Modelling the BRICS Exchange Rates Using the Vector Autoregressive (VAR) Model," Journal of Economics and Behavioral Studies, AMH International, vol. 10(5), pages 220-229.
    2. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ice:wpaper:wp36. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Central Bank of Iceland (email available below). General contact details of provider: https://edirc.repec.org/data/sedgvis.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.