Forecasting national activity using lots of international predictors : an application to New Zealand /

We look at how large international datasets can improve forecasts of national activity. We use the case of New Zealand, an archetypal small open economy. We apply "data-rich" factor and shrinkage methods to tackle the problem of efficiently handling hundreds of predictor data series from m...

Full description

Bibliographic Details
Main Author: Eickmeier, Sandra
Other Authors: Ng, Tim
Format: Book
Language:English
Published: Frankfurt am Main : Deutsche Bundesbank, 2009
Series:Discussion paper (Deutsche Bundesbank). Series 1: economic studies no. 11/2009
Subjects:
Online Access:https://econstor.eu/bitstream/10419/27665/1/200911dkp.pdf