A multi-country approach to forecasting output growth using PMIs

DOI10.1016/J.JECONOM.2016.02.003zbMATH Open1420.62481OpenAlexW3121935000MaRDI QIDQ281037FDOQ281037

Authors: Alexander Chudik, Valerie Grossman, M. Hashem Pesaran 

Publication date: 10 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.003

Recommendations

• Global prediction of recessions
• Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
• Forecasting and turning point predictions in a Bayesian panel VAR model
• The Generalized Dynamic Factor Model
• Forecasting by factors, by variables, by both or neither?

zbMATH Keywords

forecastingaugmented GVARdata-rich methodsGDP and PMIsglobal VARhigh-dimensional VARnowcasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• A well-conditioned estimator for large-dimensional covariance matrices
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• MIDAS Regressions: Further Results and New Directions
• Infinite-dimensional VARs and factor models
• Revisiting useful approaches to data-rich macroeconomic forecasting
• Aggregation in large dynamic panels
• Time series and panel data econometrics
• Econometric analysis of high dimensional VARs featuring a dominant unit

Cited In (3)

• Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
• Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
• Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator

This page was built for publication: A multi-country approach to forecasting output growth using PMIs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q281037)