Czasopismo
2011
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nr 86 Business Surveys, Business Cycles. Polish Contribution to the 30th CIRET Conference
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83--100
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
In the paper we are checking the explanatory power of business tendency survey data (BTS) in short-term forecasts of industrial production within the framework of the unobserved component model (UCM). It is assumed that the "unobserved cyclical component" is common for reference quantitative variable and qualitative variable. In that sense the cyclical fluctuation of industrial production can be approximated by the fluctuations of BTS indicators. We call such a specification of structural time series model the "Unobserved component model with observed cycle" (UCM-OC). To estimate the system we are using the Kalman filter technique. Then we compare the model recursive one-period ahead forecasts to the historical path of the reference series to check its out-of-sample data fit. The forecasting properties are also evaluated against alternative models, i.e. "pure" UCM and ARIMA model. The analysis was performed for Poland and selected European Union countries. (original abstract)
Rocznik
Strony
83--100
Opis fizyczny
Twórcy
Bibliografia
- Diebold, F.X., R.S. Mariano (1995), "Comparing Predictive Accuracy, Journal of Business & Economic Statistics 13, 253-263.
- Dijk, van D., P. H. Franses (2003), Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy, Oxford Bulletin of Economics and Statistics, 65, 727-744.
- European Commission DG ECFIN (1997), The Joint Harmonised EU Programme of Business and Consumer Surveys, European Economy - Report and Studies, No 6, Brussels.
- European Commission DG-ECFIN (2007), "The Joint Harmonised EU Programme of Business and Consumer Surveys - User guid".
- Gardner, E.S. Jr. and McKenzie, E. (2009) "Why the damped trend works,Working Paper.
- Harvey, A.C. (1985), Trends and Cycles in Macroeconomic Time Series, "Journal of Business and Economic Statistics", Vol. 3(3), 216-227.
- Harvey, A.C. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge, New York and Melbourne.
- Kuttner, K. (1994),Estimating potential output as a latent variable, "Journal of Business and Economic Statistics",12,3,361-368.
- Pedegral, D.J. (2002),Trend models for prediction of economic cycles, University of Castilla- La Mancha Working Paper.
- Planas, C. ,Roeger, W.,Rossi, A. (2009), Improving real-time TFP cycle estimates by using capacity utilization European Commission, Joint Research Centre.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171251639