A multi-country approach to forecasting output growth using PMIs

DOI10.1016/J.JECONOM.2016.02.003MaRDI QIDQ281037zbMATH OpenOpenAlexFDO

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

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)

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?

Cites work

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

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)