Factor Model Forecasts for New Zealand

Troy Matheson ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper focuses on forecasting four key New Zealand macroeconomic variables using a dynamic factor model and a large number of predictors. We compare the (simulated) real-time forecasting performance of the factor model with a variety of other time-series models (including the Reserve Bank of New Zealand’s published forecasts), and we gauge the sensitivity of our results to alternative variable-selection algorithms. We find that the factor model performs particularly well at longer horizons.

JEL-codes: G0 G00 (search for similar items in EconPapers)
Date: 2006-04-13
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Published in International Journal of Central Banking Number 2.Volume(2006): pp. 169-237

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https://mpra.ub.uni-muenchen.de/807/1/MPRA_paper_807.pdf original version (application/pdf)

Related works:
Journal Article: Factor Model Forecasts for New Zealand (2006)
Working Paper: Factor model forecasts for New Zealand (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:807

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