Forecasting New Zealand's Real GDP

Aaron Schiff () and Peter Phillips

No 1278, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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; forecasting; PIC model selection; policy analysis; real GDP (search for similar items in EconPapers)
JEL-codes: C11 C22 C32 C53 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2000-10
Note: CFP 1020.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in New Zealand Economic Papers (2000), 34(2): 159-182

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