Arbeitspapier
Mixed frequency forecasts for Chinese GDP
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter ('nowcasts' and 'forecasts' respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on averaging over indicator models (Stock and Watson, 2004), and a static factor model (Stock and Watson, 2002). Evaluating all models' out-of-sample projections, we find that all the approaches can yield considerable improvements over naive AR benchmarks. We also analyze pooling across forecasting methodologies. We find that the most accurate nowcast is given by a combination of a factor model and an indicator model. The most accurate forecast is given by a factor model. Overall, we conclude that these models, or combinations of these models, can yield improvements in terms of RMSE's of up to 60 per cent over simple AR benchmarks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2011-11
- Klassifikation
-
Wirtschaft
Econometric Modeling: General
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Thema
-
Econometric and statistical methods
International topics
Sozialprodukt
Prognose
Prognoseverfahren
Bewertung
China
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Maier, Philipp
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2011
- DOI
-
doi:10.34989/swp-2011-11
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Maier, Philipp
- Bank of Canada
Entstanden
- 2011
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