Factor forecasting using international targeted predictors : the case of German GDP /

Factor forecasting using international targeted predictors : the case of German GDP /

This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard princip...

Full description

Bibliographic Details
Main Author: Schumacher, Christian
Format: Book
Language:English
Published: Frankfurt am Main : Deutsche Bundesbank, 2009
Series:Discussion paper (Deutsche Bundesbank). Series 1: economic studies no. 10/2009
Subjects:
PREVISIONES ECONOMICAS
INDICADORES ECONOMICOS
DATOS SOCIOECONOMICOS
ALEMANIA
PREDICCIONES ECONOMICAS
PRONOSTICOS ECONOMICOS
INDICADORES MACROECONOMICOS
Online Access:https://www.econstor.eu/bitstream/10419/27664/1/200910dkp.pdf

MARC

LEADER 00000nam a22000007a 4500
003 arcduce
005 20200902230427.0
007 ta
008 160613s2009 gw_||||| |||| 00| 0 eng d
020 |a 9783865585141 
040 |a arcduce  |c arcduce 
082 0 |2 21  |a 338.5442 
100 1 |9 6001  |a Schumacher, Christian 
245 1 0 |a Factor forecasting using international targeted predictors :  |b the case of German GDP /  |c Christian Schumacher. 
260 |a Frankfurt am Main :  |b Deutsche Bundesbank,  |c 2009 
300 |a 42 p. 
490 1 |a Discussion paper. Series 1: economic studies ;  |v no. 10/2009 
504 |a Bibliografía: p. 11-13. 
520 3 |a This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard principal components as well as variable preselection prior to factor estimation using targeted predictors following Bai and Ng [Forecasting economic time series using targeted predictors, Journal of Econometrics 146 (2008), 304-317]. The results are as follows: Forecasting without data preselection favours the use of German data only, and no additional information content can be extracted from international data. However, when using targeted predictors for variable selection, international data generally improves the forecastability of German GDP. 
650 0 |9 2897  |a PREVISIONES ECONOMICAS 
650 4 |a INDICADORES ECONOMICOS  |9 1408 
650 4 |a DATOS SOCIOECONOMICOS  |9 7953 
651 4 |a ALEMANIA  |9 178 
653 4 |a PREDICCIONES ECONOMICAS  
653 4 |a PRONOSTICOS ECONOMICOS  
653 4 |a INDICADORES MACROECONOMICOS 
830 0 |9 4690  |a Discussion paper (Deutsche Bundesbank).  |p Series 1: economic studies  |v no. 10/2009 
856 4 |u https://www.econstor.eu/bitstream/10419/27664/1/200910dkp.pdf 
942 |2 ddc  |c DOCU  |j F 338.5442 S 15819 
945 |a BEA  |c 2016-09-27 
952 |0 0  |1 0  |2 ddc  |4 0  |6 F_338_544200000000000_S_15819  |7 0  |9 34489  |a BMB  |b BMB  |d 2016-09-27  |l 0  |o F 338.5442 S 15819  |p 15819 F  |r 2016-09-27 00:00:00  |w 2016-09-27  |y DOCU 
999 |c 25604  |d 25604 

Similar Items