Petreski, Marjan (2013): Assessing the forecasting power of the leading composite index in Macedonia.
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Abstract
The objective of the paper is to evaluate the forecasting power of the leading composite index of Macedonia. The leading index is a weighted index of indicators which are considered to lead the economic cycle. The main dynamic model in which, first, GDP is represented as autoregressive process, and then lags of the leading index are added, is used to measure the forecasting error behavior with the addition of the leading index and with the imposition of larger time span in the model. The main finding is that the inclusion of the leading index in the model reduces the forecasting error. The forecasting time of the leading composite index in Macedonia is found to be between one and two quarters.
Item Type: | MPRA Paper |
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Original Title: | Assessing the forecasting power of the leading composite index in Macedonia |
English Title: | Assessing the forecasting power of the leading composite index in Macedonia |
Language: | English |
Keywords: | economic cycle, leading index, root mean squared forecasting error, Macedonia, distributed lags model |
Subjects: | E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications |
Item ID: | 49433 |
Depositing User: | Marjan Petreski |
Date Deposited: | 04 Sep 2013 04:13 |
Last Modified: | 02 Oct 2019 13:00 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/49433 |