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Serguei Kaniovski (Projektleitung)
Intervals for STATEC Forecasts
Aktuelle Forschungsprojekte (in Arbeit)
Studie von: Österreichisches Institut für Wirtschaftsforschung
Auftraggeber: Institut national de la statistique et des études économiques
The aim of the project is to analyse the accuracy of the macroeconomic forecasts for the Luxembourg economy published by STATEC and to estimate prediction intervals for forecasts of key macroeconomic variables using multivariate econometric models. The set of variables will comprise the growth of real GDP, the growth of employment and the rate of consumer-price inflation on an annual basis. The set of forecasts will comprise the spring and the autumn releases for the current and the following year.
Forschungsbereich:Makroökonomie und europäische Wirtschaftspolitik
Sprache:Englisch

Verwandte Einträge

Projektberichte (in Arbeit), Februar 2019
Auftraggeber: Institut national de la statistique et des études économiques
Studie von: Österreichisches Institut für Wirtschaftsforschung
The report estimates uncertainty intervals for the forecasts of the Luxembourg economy published by STATEC. The multivariate distribution of forecast errors in a series of consecutive forecasts for a set of macroeconomic variables is modelled using a copula approach. The copula allows for asymmetrically distributed and correlated forecast errors. The variables include the growth rate of real GDP, the unemployment rate, consumer price inflation rate and the growth rate of total domestic employment on an annual basis. The forecasts include the spring and the autumn releases for the current and the following year. The analysis pays special attention to the effect of data revisions on forecast uncertainty.