Forecasting GDP with many predictors in a small open economy: forecast or information pooling?

Hwee Kwan Chow, Yijie Fei () and Daniel Han ()
Additional contact information
Yijie Fei: Hunan University
Daniel Han: Busara Center for Behavioral Economics

Empirical Economics, 2023, vol. 65, issue 2, No 8, 805-829

Abstract: Abstract This study compares two distinct approaches, pooling forecasts from single indicator MIDAS models versus pooling information from indicators into factor MIDAS models, for short-term Singapore GDP growth forecasting with a large ragged-edge mixed frequency dataset. We consider various popular weighting schemes in the literature when conducting forecast pooling. As for factor extraction, both the conventional dynamic factor model and the three-pass regression filter approach are considered. We investigate the relative predictive performance of all methods in a pseudo-out-of-sample forecasting exercise from 2007Q4 to 2020Q3. In the stable growth non-crisis period, no substantial difference in predictive performance is found across forecast models. In comparison, we find information pooling tends to dominate both the quarterly autoregressive benchmark model and the forecast pooling strategy particularly during the Global Financial Crisis.

Keywords: Forecast evaluation; Factor MIDAS; Three-pass regression filter; Pooling GDP forecasts; Global Financial Crisis; COVID-19 pandemic crisis (search for similar items in EconPapers)
JEL-codes: C22 C53 C55 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-022-02356-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02356-9

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-022-02356-9

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().