Forecasting national activity using lots of international predictors: An application to New Zealand
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DOI: 10.1016/j.ijforecast.2009.10.011
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- Eickmeier, Sandra & Ng, Tim, 2011. "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, vol. 27(2), pages 496-511, April.
- Eickmeier, Sandra & Ng, Tim, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Discussion Paper Series 1: Economic Studies 2009,11, Deutsche Bundesbank.
- Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand.
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More about this item
Keywords
Forecasting; Factor models; Shrinkage methods; Principal components; Targeted predictors; Weighted principal components; Partial least squares; Ridge regression; Elastic net; International business cycles;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
Statistics
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