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Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches

de Silva, Ashton J (2010): Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches.

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Abstract

Innovations state space time series models that encapsulate the exponential smoothing methodology have been shown to be an accurate forecasting tool. These models for the first time are applied to Australian macroeconomic data. In addition new multivariate specifications are outlined and demonstrated to be accurate.

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