Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches

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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: exponential smoothing, state space models, multivariate time series, macroeconomic variables
• 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 > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation: Models and Applications

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