Forecasting macroeconomic variables using a structural state space model

Ashton de Silva

MPRA Paper from University Library of Munich, Germany

Abstract: This paper has a twofold purpose; the first is to present a small macroeconomic model in state space form, the second is to demonstrate that it produces accurate forecasts. The first of these objectives is achieved by fitting two forms of a structural state space macroeconomic model to Australian data. Both forms model short and long run relationships. Forecasts from these models are subsequently compared to a structural vector autoregressive specification. This comparison fulfills the second objective demonstrating that the state space formulation produces more accurate forecasts for a selection of macroeconomic variables.

Keywords: State space; multivariate time series; macroeconomic model; forecast; SVAR (search for similar items in EconPapers)
JEL-codes: C32 C51 C53 (search for similar items in EconPapers)
Date: 2008-09-01
New Economics Papers: this item is included in nep-ets and nep-for
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:11060

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