Evaluating and Updating Economic Growth Rate Forecasts
Resource
經濟論文叢刊, 39(1), 1-44
Journal
經濟論文叢刊
Journal Volume
39
Journal Issue
1
Pages
1-44
Date Issued
2011-03
Date
2011-03
Author(s)
Chen, Y.T.
Hsu, S.H.
Liou, R.W.
Chuang, O.C.
Abstract
In this empirical study, we evaluate the one-quarter-ahead economic-growth-rate forecasting performance of Taiwan's Directorate General of Budget, Accounting and Statistics (DGBAS) and provide certain forecast updating models to improve the forecasting performance. Specifically, the DGBAS forecasting error sequence has significant autocorrelation of order one and is correlated with the macroeconomic diffusion indexes. This motivates us to propose a set of models for updating the DGBAS forecast. Among these models, the simplest one needs only the current DGBAS forecast and the previous DGBAS forecasting error, and the best model extends this simple model by including certain properly selected diffusion indexes as explanatory variables. The updated models considerably outperform the DGBAS forecast and the pure diffusion index models (that do not account for the DGBAS forecast) in both the in-sample and out-of-sample comparisons.
Subjects
經濟成長率(economic growth rate), 條件動差檢定(conditional moment test), 擴散指標(diffusion index), 預測誤差(forecasting error), 預測更新(forecast updating model)
SDGs
Type
journal article
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