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Factor Model Forecasts for New Zealand

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  • Matheson, Troy D

Abstract

This paper focuses on forecasting four key New Zealand macroeconomic variables using a dynamic factor model and a large number of predictors. We compare the (simulated) real-time forecasting performance of the factor model with a variety of other time-series models (including the Reserve Bank of New Zealand’s published forecasts), and we gauge the sensitivity of our results to alternative variable-selection algorithms. We find that the factor model performs particularly well at longer horizons.

Suggested Citation

  • Matheson, Troy D, 2006. "Factor Model Forecasts for New Zealand," MPRA Paper 807, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:807
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    References listed on IDEAS

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    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G0 - Financial Economics - - General

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