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

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:
PREVISIONES ECONOMICAS
NUEVA ZELANDIA
PREDICCIONES ECONOMICAS
PRONOSTICOS ECONOMICOS
Online Access:https://econstor.eu/bitstream/10419/27665/1/200911dkp.pdf
Table of Contents:
  • 1. Introduction
  • 2. Related literature
  • 3. Methodology: Forecasting setup
  • Data-rich methods
  • Shrinkage methods
  • Factor methods
  • Trade-weighting approaches to summarising international data
  • Strength and weaknesses of the various approaches
  • 4. Data
  • 5. Forecasting results, using New Zealand data only
  • 6. The relevance of different classes of international data over the sample
  • 7. Conclusions.

Similar Items