Arbeitspapier
Forecasting key macroeconomic variables from a large number of predictors: A state space approach
We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables for 1978Q2-2005Q4. The model is used to obtain forecasts for 22 key variables that can be derived from the original variables by aggregation. To investigate the potential gain in using such a large information set, we compare the forecasting properties of the dynamic factor model with those of univariate benchmark models. We find that there is an overall gain in using the dynamic factor model, but that the gain is notable only for a few of the key variables.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers ; No. 504
- Klassifikation
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
- Thema
-
Dynamic factor model
Forecasting
State space
AR models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Raknerud, Arvid
Skjerpen, Terje
Swensen, Anders Rygh
- Ereignis
-
Veröffentlichung
- (wer)
-
Statistics Norway, Research Department
- (wo)
-
Oslo
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Raknerud, Arvid
- Skjerpen, Terje
- Swensen, Anders Rygh
- Statistics Norway, Research Department
Entstanden
- 2007
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