A multi-country approach to forecasting output growth using PMIs

Alexander Chudik, Valerie Grossman and Mohammad Pesaran

No 213, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the strong factors and establish conditions under which forecasts from the augmented GVAR model (AugGVAR) uniformly converge in probability (as the panel dimensions N,T? ? such that N/T?? for some 0

JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 57 pages
Date: 2014-11-01
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
Note: Published as: Chudik, Alexander, Valerie Grossman and M. Hashem Pesaran (2016), "A Multi-Country Approach to Forecasting Output Growth Using PMIs," Journal of Econometrics 192 (2): 349-365.
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: A multi-country approach to forecasting output growth using PMIs (2016)
Working Paper: A Multi-Country Approach to Forecasting Output Growth Using PMIs (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:213

DOI: 10.24149/gwp213

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