Forecasting New Zealand's Real GDP

Aaron Schiff and Peter Phillips

No 186, Working Papers from Department of Economics, The University of Auckland

Abstract: Recent time series methods are applied to the problem of forecasting New Zealand_s real GDP. Model selection is conducted within autoregressive (AR) and vector autoregressive (VAR) classes, allowing for evolution in the form of the models over time. The selections are performed using the Schwarz (1978) BIC and the Phillips-Ploberger (1996) PIC criteria. The forecasts generated by the data determined AR models and an international VAR model are found to be competitive with forecasts from fixed format models and forecasts produced by the NZIER. Two illustrations of the methodology in conditional forecasting settings are performed with the VAR models. The first provides conditional predictions of New Zealand_s real GDP when there is a future recession in the United States. The second gives conditional predictions of New Zealand_s real GDP under a variety of profiles that allow for tightening in monetary conditions by the Reserve Bank.

Keywords: Automated modeling; Economics (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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http://hdl.handle.net/2292/186

Related works:
Journal Article: Forecasting New Zealand's real GDP (2000)
Working Paper: Forecasting New Zealand's Real GDP (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:auc:wpaper:186

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