uu.seUppsala University Publications
Change search
ReferencesLink to record
Permanent link

Direct link
Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area: A Bayesian Approach
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In this paper, the predictive capabilities of the Economic Sentiment Indicator (ESI), based on business and consumer surveys in the Euro area, are evaluated by out-of-sample forecasts of Swedish GDP growth. A steady state Bayesian VAR-model is applied to quarterly data from 1996 to 2014. The results show that the inclusion of the ESI improves the forecasting performance, both in the point predictive measurement Root Mean Square Errors and in the forecast density sharpness measurement Log Predictive Density Scores. These findings suggest that international confidence indicators may prove useful in forecasting macroeconomic trends for small open economies.

Place, publisher, year, edition, pages
National Category
Probability Theory and Statistics
URN: urn:nbn:se:uu:diva-256761OAI: oai:DiVA.org:uu-256761DiVA: diva2:826873
External cooperation
Subject / course
Educational program
Master Programme in Statistics
Available from: 2015-06-26 Created: 2015-06-26 Last updated: 2015-06-26Bibliographically approved

Open Access in DiVA

fulltext(349 kB)95 downloads
File information
File name FULLTEXT01.pdfFile size 349 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Department of Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 95 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 678 hits
ReferencesLink to record
Permanent link

Direct link