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Evaluating GDP forecasting models for Korea

Author: Li Zeng; International Monetary Fund. Asia and Pacific Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2011.
Series: IMF working paper, WP/11/53.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
This paper develops a new forecasting framework for GDP growth in Korea to complement and further enhance existing forecasting approaches. First, a range of forecast models, including indicator- and pure time-series models, are evaluated for their forecasting performance. Based on the evaluation results, a new forecasting framework is developed for GDP projections. The framework also generates a data-driven  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Zeng, Li.
Evaluating GDP Forecasting Models for Korea.
Washington : International Monetary Fund, ©2011
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Li Zeng; International Monetary Fund. Asia and Pacific Department.
ISBN: 1283557010 9781283557016 9781462316250 1462316255
OCLC Number: 733938098
Description: 1 online resource (24 pages).
Contents: Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Forecast Models; III. Model Evaluations; IV. Evaluation Results; V. The New Forecast Framework: An Application; VI. Conclusion; I. Data Summary; II. 1. Summary of Indicator Forecast Models --
Private Consumption; II. 2. Summary of Indicator Forecast Models --
Investment; II. 3. Summary of Indicator Forecast Models --
Government Consumption; II. 4a. Summary of Indicator Forecast Models --
Exports (I); II. 4b. Summary of Indicator Forecast Models --
Exports (II); II. 5. Summary of Indicator Forecast Models --
Imports. III. 1. Seasonally Adjusted Real GDP and Demand Components (High Path of New Forecast Framework)III. 2. Seasonally Adjusted Real GDP and Demand Components (Low Path of New Forecast Framework); III. 3. Seasonally Adjusted Real GDP and Demand Components (WEO Projections); III. 4. Seasonally Adjusted Real GDP and Demand Components (Forecasts by AR(1) Model); Reference; Footnotes.
Series Title: IMF working paper, WP/11/53.
Responsibility: Li Zeng.

Abstract:

This paper develops a new forecasting framework for GDP growth in Korea to complement and further enhance existing forecasting approaches. First, a range of forecast models, including indicator- and pure time-series models, are evaluated for their forecasting performance. Based on the evaluation results, a new forecasting framework is developed for GDP projections. The framework also generates a data-driven reference band for the projections, and is therefore convenient to update. The framework is applied to the current World Economic Outlook (WEO) forecast period and the Great Recession to compare its performance to past projections. Results show that the performance of the new framework often improves the forecasts, especially at quarterly frequency, and the forecasting exercise will be better informed by cross-checking with the new data-driven framework projections.

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