Forecasting australian macroeconomic variables using a large dataset

Sarantis Tsiaplias, Chew Lian Chua

Research output: Journal PublicationArticlepeer-review

2 Citations (Scopus)

Abstract

This paper investigates the forecasting performance of the diffusion index approach for the Australian economy, and considers the forecasting performance of the diffusion index approach relative to composite forecasts. Weighted and unweighted factor forecasts are benchmarked against composite forecasts, and forecasts derived from individual forecasting models. The results suggest that diffusion index forecasts tend to improve on the benchmark AR forecasts. We also observe that weighted factors tend to produce better forecasts than their unweighted counterparts. We find, however, that the size of the forecasting improvement is less marked than previous research, with the diffusion index forecasts typically producing mean square errors of a similar magnitude to the VAR and BVAR approaches.

Original languageEnglish
Pages (from-to)44-59
Number of pages16
JournalAustralian Economic Papers
Volume49
Issue number1
DOIs
Publication statusPublished - Mar 2010
Externally publishedYes

ASJC Scopus subject areas

  • General Economics,Econometrics and Finance

Fingerprint

Dive into the research topics of 'Forecasting australian macroeconomic variables using a large dataset'. Together they form a unique fingerprint.

Cite this