Forecasting Swedish GDP Growth
(2007)Department of Economics
- Abstract
- The purpose of this thesis is to determine the best linear time series model for forecasting Swedish real GDP growth. The study evaluates the performance of random walk, pure autoregressive and vector autoregressive models that use forward looking surveys as explanatory variables. The forecasts from the different models are generated using an expanding information window approach and the different models are evaluated using standard forecast evaluation criteria. The empirical analysis leads to the conclusion that vector autoregressive models based on forward looking surveys best forecast Swedish real GDP growth. Nonetheless, the differences are small and the best performing models are neither statistically significantly better than the... (More)
- The purpose of this thesis is to determine the best linear time series model for forecasting Swedish real GDP growth. The study evaluates the performance of random walk, pure autoregressive and vector autoregressive models that use forward looking surveys as explanatory variables. The forecasts from the different models are generated using an expanding information window approach and the different models are evaluated using standard forecast evaluation criteria. The empirical analysis leads to the conclusion that vector autoregressive models based on forward looking surveys best forecast Swedish real GDP growth. Nonetheless, the differences are small and the best performing models are neither statistically significantly better than the second best performing models, the benchmark models, nor even the worse performing models. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1336739
- author
- Andersson, Jacob
- supervisor
- organization
- year
- 2007
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- forecasting, GDP, surveys, leading indicators, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- English
- id
- 1336739
- date added to LUP
- 2007-10-18 00:00:00
- date last changed
- 2010-08-03 10:51:16
@misc{1336739,
abstract = {{The purpose of this thesis is to determine the best linear time series model for forecasting Swedish real GDP growth. The study evaluates the performance of random walk, pure autoregressive and vector autoregressive models that use forward looking surveys as explanatory variables. The forecasts from the different models are generated using an expanding information window approach and the different models are evaluated using standard forecast evaluation criteria. The empirical analysis leads to the conclusion that vector autoregressive models based on forward looking surveys best forecast Swedish real GDP growth. Nonetheless, the differences are small and the best performing models are neither statistically significantly better than the second best performing models, the benchmark models, nor even the worse performing models.}},
author = {{Andersson, Jacob}},
language = {{eng}},
note = {{Student Paper}},
title = {{Forecasting Swedish GDP Growth}},
year = {{2007}},
}