Bayesian averaging of classical estimates in forecasting macroeconomic indicators with application of business survey data

Piotr Bialowolski, Tomasz Kuszewski and Bartosz Witkowski

Empirica, 2014, vol. 41, issue 1, 53-68

Abstract: In this paper, we develop a methodology for forecasting key macroeconomic indicators, based on business survey data. We estimate a large set of models, using an autoregressive specification, with regressors selected from business and household survey data. Our methodology is based on the Bayesian averaging of classical estimates method. Additionally, we examine the impact of deterministic and stochastic seasonality of the business survey time series on the outcome of the forecasting process. We propose an intuitive procedure for incorporating both types of seasonality into the forecasting process. After estimating the specified models, we check the accuracy of the forecasts. Copyright Springer Science+Business Media New York 2014

Keywords: Bayesian averaging of classical estimates; Business survey data; Seasonality; Automatic forecasting; C10; C83; E32; E37 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s10663-013-9227-x

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