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School of Economics and Finance, Queen Mary, University of London >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62803
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Qin, Duo | | en_US |
| dc.contributor.author | | Cagas, Marie Anne | | en_US |
| dc.contributor.author | | Ducanes, Geoffrey | | en_US |
| dc.contributor.author | | Magtibay-Ramos, Nedelyn | | en_US |
| dc.date.accessioned | | 2012-09-20T12:59:00Z | | - |
| dc.date.available | | 2012-09-20T12:59:00Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/62803 | | - |
| dc.description.abstract | | This paper compares forecast performance of the ALI method and the MESMs and seeks ways of improving the ALI method. Inflation and GDP growth form the forecast objects for comparison, using data from China, Indonesia and the Philippines. The ALI method is found to produce better forecasts than those by MESMs in general, but the method is found to involve greater uncertainty in choosing indicators, mixing data frequencies and utilizing unrestricted VARs. Two possible improvements are found helpful to reduce the uncertainty: (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→specific model reduction procedure. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Queen Mary, Univ. of London, Dep. of Economics London | | en_US |
| dc.relation.ispartofseries | | Working Paper, Department of Economics, Queen Mary, University of London 554 | | en_US |
| dc.subject.jel | | E31 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Dynamic factor models, Model reduction, VAR | | en_US |
| dc.title | | Forecasting inflation and GDP growth: Comparison of automatic leading indicator (ALI) method with macro econometric structural models (MESMs) | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 509880789 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Working Paper Series, School of Economics and Finance, Queen Mary, University of London
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