Factor model forecasts for New Zealand

Troy Matheson ()

No DP2005/01, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: This paper focuses on forecasting four key New Zealand macroeconomic variables using a dynamic factor model and a large number of predictors. We compare the (simulated) real-time forecasting performance of the factor model with a variety of other time series models and gauge the sensitivity of our results to alternative variable selection algorithms. We find that the factor model performs particularly well at longer horizons.

JEL-codes: C32 E47 (search for similar items in EconPapers)
Pages: 25 p.
Date: 2005-05
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Factor Model Forecasts for New Zealand (2006)
Working Paper: Factor Model Forecasts for New Zealand (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbdps:2005/01

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