Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting

Duo Qin; Marie Anne Cagas; Geoffrey Ducanes; Nedelyn Magtibay-Ramos; Pilipinas Quising

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Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting

机译：自动领先指标与宏观经济计量模型：通货膨胀与GDP增长预测的比较

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This paper compares the forecast performance of automatic leading indicators (ALIs) and macroeconometric structural models (MESMs) commonly used by non-academic macroeconomists. Inflation and GDP growth form the forecast objects for comparison, using data from China, Indonesia and the Philippines. ALIs are found to outperform MESMs for one-period-ahead forecasts, but this superiority disappears as the forecast horizon increases. It is also found that ALIs involve greater uncertainty in choosing indicators, mixing data frequencies and utilizing unrestricted VARs. Two ways of reducing the uncertainty are explored: (i) give theory priority in choosing indicators, and include theory-based disequilibrium shocks in the indicator sets; and (ii) reduce the VARs by means of the general-to-specific modeling procedure.

机译：本文比较了非学术界宏观经济学家通常使用的自动领先指标（ALIs）和宏观经济计量结构模型（MESM）的预测性能。使用来自中国，印度尼西亚和菲律宾的数据，将通货膨胀和GDP增长作为比较的预测对象。人们发现，对于一个超前的预报，ALI的性能优于MESM，但是随着预报范围的增加，这种优势消失了。还发现，ALI在选择指标，混合数据频率和利用不受限制的VAR时涉及更大的不确定性。探索了两种减少不确定性的方法：（i）在选择指标时给予理论优先权，并将基于理论的不平衡冲击纳入指标集；（ii）通过通用到特定的建模程序来减少VAR。

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来源
《International journal of forecasting》 |2008年第3期|399-413|共15页
作者
Duo Qin; Marie Anne Cagas; Geoffrey Ducanes; Nedelyn Magtibay-Ramos; Pilipinas Quising;
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正文语种 eng
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dynamic factor models; equilibrium/error correction; model reduction; VAR;

机译：动态因素模型;平衡/误差校正;模型简化VAR;

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Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting

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