Matheson, Troy D (2006): Factor Model Forecasts for New Zealand. Published in: International Journal of Central Banking , Vol. Volume, No. Number 2 (5 July 2006): pp. 169-237.
Download (427kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Factor Model Forecasts for New Zealand|
|Subjects:||G - Financial Economics > G0 - General > G00 - General
G - Financial Economics > G0 - General
|Depositing User:||Terry Woodard|
|Date Deposited:||14 Nov 2006|
|Last Modified:||29 Feb 2016 05:49|
Artis, M., A. Banerjee, and M. Marcellino. 2002. “Factor Forecasts for the UK.” CEPR Discussion Paper No. 3119.
Bai, J., and S. Ng. 2002. “Determining the Number of Factors in Approximate Factor Models.” Econometrica 70 (1): 191–221.
Basdevant, O., N. Bj¨orksten, and ¨ O. Karagedikli. 2004. “Estimating a Time Varying Neutral Real Interest Rate for New Zealand.” Reserve Bank of New Zealand Discussion Paper DP2004/01.
Boivin, J., and S. Ng. 2003. “Are More Data Always Better for Factor Analysis?” NBER Working Paper No. 9829.
Diebold, F., and R. Mariano. 1995. “Comparing Predictive Accuracy.” Journal of Economic and Business Statistics 13 (3): 253–63.
Drew, A., and B. Hunt. 1998. “The Forecasting and Policy System: Preparing Economic Projections.” Reserve Bank of New Zealand Discussion Paper G98/7.
Forni, M., M. Hallin, M. Lippi, and L. Reichlin. 2000. “The Generalized Dynamic-Factor Model: Identification and Estimation.” The Review of Economics and Statistics 82 (4): 540–54.
———. 2001. “Coincident and Leading Indicators for the Euro Area.” The Economic Journal 111 (471): 62–85.
———. 2004. “The Generalized Dynamic-Factor Model Consistency and Rates.” Journal of Econometrics 119 (2): 231–55.
Geweke, J. 1977. “The Dynamic Factor Analysis of Economic Time Series.” In Latent Variables in Socio-Economic Models, ed. D. J. Aigner and A. S. Goldberger. Amsterdam: North Holland.
Marcellino, M., J. M. Stock, and M. W. Watson. 2003. “Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information.” European Economic Review 47 (1):1–18.
Newey, W. K., and K. West. 1987. “A Simple, Positive Semidefinite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–8.
Sargent, T. J., and C. A. Sims. 1977. “Business Cycle Modelling without Pretending to Have Too Much A Priori Economic Theory.” In New Methods in Business Cycle Research, ed. C. A. Sims. Minneapolis, MN: Federal Reserve Bank of Minneapolis.
Stock, J. H., and M. W. Watson. 1989. “New Indexes of Coincident and Leading Economic Indicators.” In National Bureau of Economic Research Macroeconomics Annual, ed. O. Blanchard and S. Fischer, 351–94. Cambridge, MA: MIT Press.
———. 1998. “Diffusion Indexes.” NBER Working Paper No. 6702.
———. 1999. “Forecasting Inflation.” Journal of Monetary Economics 44 (2): 293–334.
———. 2002. “Macroeconomic Forecasting Using Diffusion Indexes.” Journal of Business and Economic Statistics 20 (2):147–62.
———. 2004. “Combination Forecasts of Output Growth in a Seven-Country Data Set.” Journal of Forecasting 23 (6): 405–30