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Forecasting Swedish Output Growth:: An Empirical Comparison of MIDAS Regressions and theRAMSES Model
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis compares MIDAS regressions, introduced in Ghysels, Santa-Clara and Valkanov (2002), to the RAMSES model, used by the Riksbank,in forecasting Swedish quarterly output growth (GDP). Using Swedish GPDdata from 1993Q1 and onwards, we compare forecasts for the period 2010Q1to 2011Q4, and we show that for longer forecast horizons (commonly usedby the Riksbank for monetary policy decisions), such as two and three yearsahead in time, the MIDAS regressions clearly outperforms the RAMSESmodel. For shorter horizons the results are not conclusive.KEYWORDS: MIDAS, GDP, forecasting, Sveriges Riksbank

Place, publisher, year, edition, pages
2012. , 22 p.
Keyword [en]
MIDAS, GDP, forecasting, Sveriges Riksbank
National Category
Social Sciences
Identifiers
URN: urn:nbn:se:uu:diva-195873OAI: oai:DiVA.org:uu-195873DiVA: diva2:608558
Subject / course
Statistics
Educational program
Freestanding course
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2013-02-28 Created: 2013-02-28 Last updated: 2013-02-28Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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