2020-07-16
Multi-Horizon Forecast Comparison of Linear and Non-linear Methods for GDP Growth and Inflation
Publication
Publication
Forecasting macroeconomic variables is an important issue for decision makers. In thispaper, we analyze 13 univariate models which include linear and non-linear methods to forecastGDP growth and inflation to determine a benchmark. We not only examine the models in singlehorizon by the Diebold-Mariano test, but also apply the multi-horizon analysis from Quaedvlieg(2018). By conducting the research on 4 European countries with different fundamentals, wefind thatAutoregressive methodwith fixed lags performs the best in our sample, which is thebenchmark model that we propose. The multi-horizon superior predictive ability(SPA) test canbe an useful tool in comparing large set of forecasts which delivers reliable results.
Additional Metadata | |
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Quaedvlieg, R. | |
hdl.handle.net/2105/52334 | |
Business Economics | |
Organisation | Erasmus School of Economics |
Xing, X. (2020, July 16). Multi-Horizon Forecast Comparison of Linear and Non-linear Methods for GDP Growth and Inflation. Business Economics. Retrieved from http://hdl.handle.net/2105/52334
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