 FORECASTING AUSTRALIAN MACROECONOMIC VARIABLES USING A LARGE DATASETSarantis Tsiaplias () and Chew Lian Chua Australian Economic Papers, 2010, vol. 49, issue 1, pages 44-59 Abstract: This paper investigates the forecasting performance of the diffusion index approach for the Australian economy, and considers the forecasting performance of the diffusion index approach relative to composite forecasts. Weighted and unweighted factor forecasts are benchmarked against composite forecasts, and forecasts derived from individual forecasting models. The results suggest that diffusion index forecasts tend to improve on the benchmark AR forecasts. We also observe that weighted factors tend to produce better forecasts than their unweighted counterparts. We find, however, that the size of the forecasting improvement is less marked than previous research, with the diffusion index forecasts typically producing mean square errors of a similar magnitude to the VAR and BVAR approaches. Copyright 2010 The Authors. Journal compilation 2010 Blackwell Publishing Ltd/University of Adelaide and Flinders University. Date: 2010 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:bla:ausecp:v:49:y:2010:i:1:p:44-59 Ordering information: This journal article can be ordered from Access Statistics for this article Australian Economic Papers is edited by Daniel Leonard More articles in Australian Economic Papers from Wiley Blackwell |
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