IMF Working Papers

Systematizing Macroframework Forecasting: High-Dimensional Conditional Forecasting with Accounting Identities

By Sakai Ando, Taehoon Kim

June 3, 2022

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Sakai Ando, and Taehoon Kim. Systematizing Macroframework Forecasting: High-Dimensional Conditional Forecasting with Accounting Identities, (USA: International Monetary Fund, 2022) accessed September 18, 2024

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Summary

Forecasting a macroframework, which consists of many macroeconomic variables and accounting identities, is widely conducted in the policy arena to present an economic narrative and check its consistency. Such forecasting, however, is challenging because forecasters should extend limited information to the entire macroframework in an internally consistent manner. This paper proposes a method to systematically forecast macroframework by integrating (1) conditional forecasting with machine-learning techniques and (2) forecast reconciliation of hierarchical time series. We apply our method to an advanced economy and a tourism-dependent economy using France and Seychelles and show that it can improve the WEO forecast.

Subject: Balance of payments, Current account balance, GDP measurement, National accounts

Keywords: Accounting Identities, Accounting identity, Conditional Forecasting, Current account balance, Forecasting method, Framework forecasting, GDP measurement, Hierarchical Time Series, IMF working paper 22/110, Macroframework, Reconciliation, Unknown variable

Publication Details

  • Pages:

    25

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2022/110

  • Stock No:

    WPIEA2022110

  • ISBN:

    9798400211683

  • ISSN:

    1018-5941