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Forecasting Business and Consumer Surveys Indicators. A Time Series Models Competition
[journal article]
Abstract The objective of this paper is to compare different time series methods for the short-run forecasting of Business and Consumer Survey Indicators. We consider all available data taken from the Business and Consumer Survey Indicators for the Euro area between 1985 and 2002. The main results of the for... view more
The objective of this paper is to compare different time series methods for the short-run forecasting of Business and Consumer Survey Indicators. We consider all available data taken from the Business and Consumer Survey Indicators for the Euro area between 1985 and 2002. The main results of the forecast competition are offered not only for raw data but we also consider the effects of seasonality and removing outliers on forecast accuracy. In most cases the univariate autoregressions were not outperformed by the other methods. As for the effect of seasonal adjustment methods and the use of data from which outliers have been removed, we obtain that the use of raw data has little effect on forecast accuracy. The forecasting performance of qualitative indicators is important since enlarging the observed time series of these indicators with forecast intervals may help in interpreting and assessing the implications of the current situation and can be used as an input in quantitative forecast models.... view less
Document language
English
Publication Year
2008
Page/Pages
p. 2565-2580
Journal
Applied Economics, 39 (2008) 20
DOI
https://doi.org/10.1080/00036840600690272
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)