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Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches

Ashton de Silva

MPRA Paper from University Library of Munich, Germany

Abstract: Innovations state space time series models that encapsulate the exponential smoothing methodology have been shown to be an accurate forecasting tool. These models for the first time are applied to Australian macroeconomic data. In addition new multivariate specifications are outlined and demonstrated to be accurate.

Keywords: exponential smoothing; state space models; multivariate time series; macroeconomic variables (search for similar items in EconPapers)
JEL-codes: C32 C53 E17 (search for similar items in EconPapers)
Date: 2010-12-13
New Economics Papers: this item is included in nep-ecm and nep-for
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