Macroeconomic Forecasting Using Pooled International Data

In a recent article, Garcia-Ferrer, Highfield, Palm, and Zellner (1987) used pooling techniques to forecast annual output growth rates in nine countries. Examining various model specifications, they found that, among the fixed-parameter models investigated, a third-order autoregressive (AR) model with leading indicators, AR(3)LI, produces the best forecasts overall. A reexamination using state-space methods shows that a more parsimonious fixed-parameter model, which does not have an autoregressive part, leads generally to better forecasts than the fixed-parameter AR(3)LI model

Autoregressive model · Econometrics · Economics · Pooling · State-space representation · Statistics · Computer Science · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Probabilistic and Robust Engineering Design

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