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Automatic time series modeling and forecasting: a replication case study of forecasting real GDP, the unemployment rate and the impact of leading economic indicators
Guerard, John Baynard; Thomakos, Dimitrios D.; Kyriazi, … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-20
We test and report on time series modelling and forecasting using several US. Leading economic indicators (LEI) as an … input to forecasting real US. GDP and the unemployment rate. These time series have been addressed before, but our results … unemployment rate series. We tested the forecasting ability of best univariate and best bivariate models over 60- and 120-period …
Persistent link: https://www.econbiz.de/10012657604
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A persistence-based Wold-type decomposition for stationary time series
Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative Economics 11 (2020) 1, pp. 203-230
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...
Persistent link: https://www.econbiz.de/10012215416
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Inflation mittelfristig auf höherem Niveau
Dreger, Christian; Kooths, Stefan - In: DIW Wochenbericht 75 (2008) 20, pp. 266-271
Von der Preisentwicklung geht derzeit ein erhebliches Risiko für die weitere wirtschaftliche Entwicklung aus. Die Teuerungen bei Lebensmitteln und Energie haben die Kaufkraft der Arbeitnehmer reduziert und dämpfen auf diese Weise die Erholung des privaten Verbrauchs, auf der die...
Persistent link: https://www.econbiz.de/10011601819
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Konjunkturprogramm kommt auf dem Bau kaum an
Gornig, Martin; Weber, Sebastian - In: DIW Wochenbericht 75 (2008) 48, pp. 762-769
Nach langen Jahren stagnierender und sogar rückläufiger Produktionsentwicklung folgt auf 2006 und 2007 auch 2008 eine positive Gesamtbilanz der Bauwirtschaft. Der konjunkturelle Ausblick auf das Jahr 2009 ist allerdings getrübt. Die deutsche Bauproduktion wird preisbereinigt 2009 fast...
Persistent link: https://www.econbiz.de/10011601923
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A monthly consumption indicator for Germany based on Internet search query data
Vosen, Simeon; Schmidt, Torsten - In: Applied Economics Letters 19 (2012) 7, pp. 683-687
This study introduces a monthly coincident indicator for consumption in Germany based on Google Trends data on web search activity. In real-time nowcasting experiments the indicator outperforms common survey-based indicators in predicting consumption. Unlike those indicators, it provides...
Persistent link: https://www.econbiz.de/10011479058
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A factor analysis for the Spanish economy
Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs - Journal of the Spanish Economic Association 3 (2012) 3, pp. 311-338
We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of...
Persistent link: https://www.econbiz.de/10010317084
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COVID-19 outbreak and beyond: The information content of registered short-time workers for GDP now- and forecasting
Kaufmann, Sylvia - In: Swiss Journal of Economics and Statistics 156 (2020) 1, pp. 1-12
The number of short-time workers from January to April 2020 is used to now- and forecast quarterly GDP growth. We purge the monthly log level series from the systematic component to extract unexpected changes or shocks to log short-time workers. These monthly shocks are included in a univariate...
Persistent link: https://www.econbiz.de/10013205796
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Predicting the German Economy: Headline Survey Indices Under Test
Lehmann, Robert; Reif, Magnus - In: Journal of Business Cycle Research 17 (2021) 2, pp. 215-232
This analysis investigates the predictive power of the headline indices of the four most important German survey providers. We conduct an out-of-sample, real-time forecast experiment for growth of total and private sector gross domestic product and growth of gross value added in both the...
Persistent link: https://www.econbiz.de/10014501911
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Konjunkturanalysen mit DIWAX
Kooths, Stefan - In: Vierteljahrshefte zur Wirtschaftsforschung 76 (2007) 4, pp. 21-34
DIWAX is an agent-based software package designed to support macroeconomic forecasting based on national accounting …
Persistent link: https://www.econbiz.de/10010377813
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Consumer confidence indicators and economic fluctuations in Nigeria
Ibrahim, Adamu; Bawa, Sani; Abdullahi, Ismaila S.; … - In: CBN Journal of Applied Statistics 06 (2015) 1, pp. 285-300
economic fundamentals. This study evaluated the predictive ability of the CCI in forecasting economic fluctuations in Nigeria … small. These results have important implications for the usefulness of CCI in planning and forecasting macroeconomic …
Persistent link: https://www.econbiz.de/10011482611