Evaluating GDP Forecasting Models for Korea

 
Author/Editor: Zeng, Li
 
Publication Date: March 01, 2011
 
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: 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.
 
Series: Working Paper No. 11/53
Subject(s): Economic models | Forecasting models | Gross domestic product | Korea, Republic of

Author's Keyword(s): Forecast | GDP | Korea | indicator model | reference band
 
English
Publication Date: March 01, 2011
Format: Paper
Stock No: WPIEA2011053 Pages: 23
Price:
US$18.00 (Academic Rate:
US$18.00 )
 
 
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