Publicação
Predicting GDP growth in the Euro Area
| Resumo: | Predicting GDP growth is a concern of several economic agents. The right way to model such variable is far from consensual. This paper’s goal is to compare different models for GDP growth forecasting in the euro area. For comparative purposes, an autoregressive model (which is used as benchmark) and two Autoregressive Distributed Models (ADL), which contain financial and non-financial variables, chosen based on the literature, are used. The main conclusion is that the ADL(2,1,1) considered has superior forecast performance in- and out-of-sample, although in this last case depending on the evaluation metric. |
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| Autores principais: | Campos, Claúdia Cristina Marinho |
| Assunto: | Forecasting Linear models GDP growth Euro Area |
| Ano: | 2013 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | Predicting GDP growth is a concern of several economic agents. The right way to model such variable is far from consensual. This paper’s goal is to compare different models for GDP growth forecasting in the euro area. For comparative purposes, an autoregressive model (which is used as benchmark) and two Autoregressive Distributed Models (ADL), which contain financial and non-financial variables, chosen based on the literature, are used. The main conclusion is that the ADL(2,1,1) considered has superior forecast performance in- and out-of-sample, although in this last case depending on the evaluation metric. |
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