Factor Model Forecasts for New Zealand

Troy Matheson ()

International Journal of Central Banking, 2006, vol. 2, issue 2

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 (including the Reserve Bank of New Zealand’s published forecasts), and we 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)
Date: 2006
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Citations: View citations in EconPapers (30)

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Related works:
Working Paper: Factor Model Forecasts for New Zealand (2006)
Working Paper: Factor model forecasts for New Zealand (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2006:q:2:a:6

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