"I Just Ran Four Million Regressions" for Backcasting Turkish GDP Growth

Mahmut Gunay

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: In this paper we backcast Turkish GDP growth with bridge equations. In the backcasting models, we consider indicators from production, international trade, consumer and firm surveys, employment, inflation and real exchange rate. We use a systematic search process for finding the combination of variables in the bridge equations that make the least backcast error in the period under investigation. We find that using information from different blocks of data in a bridge equation improves backcasting performance. Our results points out to the importance of using timeliness advantage of soft indicators, such as PMI, effectively. Similar to other studies in the literature, average of backcasts of models makes less backcast error than individual models.

Keywords: GDP Forecasting; Bridge Equations; Forecast Combination (search for similar items in EconPapers)
JEL-codes: C22 E37 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ara and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1533

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