Evaluating GDP Forecasting Models for Korea

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 res...

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Bibliographic Details
Main Author: Zeng, Li
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2011
Series:IMF Working Papers
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
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245 0 0 |a Evaluating GDP Forecasting Models for Korea  |c Li Zeng 
260 |a Washington, D.C.  |b International Monetary Fund  |c 2011 
300 |a 23 pages 
651 4 |a Korea, Republic of 
653 |a Wealth 
653 |a Economics 
653 |a Private consumption 
653 |a Dynamic Treatment Effect Models 
653 |a Saving 
653 |a Economic Forecasting 
653 |a Diffusion Processes 
653 |a Economic forecasting 
653 |a Time series analysis 
653 |a Vector autoregression 
653 |a National income 
653 |a Time-Series Models 
653 |a Forecasting 
653 |a Forecasting and Other Model Applications 
653 |a Consumption 
653 |a Macroeconomics 
653 |a Gdp forecasting 
653 |a Macroeconomics: Consumption 
653 |a Dynamic Quantile Regressions 
653 |a Econometrics 
653 |a Econometrics & economic statistics 
653 |a State Space Models 
653 |a Forecasting and Simulation: Models and Applications 
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520 |a 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