de Silva, Ashton (2008): Forecasting macroeconomic variables using a structural state space model.
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This paper has a twofold purpose; the first is to present a small macroeconomic model in state space form, the second is to demonstrate that it produces accurate forecasts. The first of these objectives is achieved by fitting two forms of a structural state space macroeconomic model to Australian data. Both forms model short and long run relationships. Forecasts from these models are subsequently compared to a structural vector autoregressive specification. This comparison fulfills the second objective demonstrating that the state space formulation produces more accurate forecasts for a selection of macroeconomic variables.
|Item Type:||MPRA Paper|
|Original Title:||Forecasting macroeconomic variables using a structural state space model|
|Keywords:||State space, multivariate time series, macroeconomic model, forecast, SVAR|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods
|Depositing User:||Ashton de Silva|
|Date Deposited:||14. Oct 2008 04:33|
|Last Modified:||02. May 2015 01:10|
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