Prediction of consumption and income in national accounts: Simulation-based forecast model selection
- Author(s)
- Robert Kunst, Adusei Jumah
- Abstract
Simulation-based forecast model selection considers two candidate forecast model classes, simulates from both models fitted to data, applies both forecast models to simulated structures, and evaluates the relative benefit of each candidate prediction tool. This approach, for example, determines a sample size beyond which a candidate predicts best. In an application, aggregate household consumption and disposable income provide an example for error correction. With panel data for European countries, we explore whether and to what degree the cointegration properties benefit forecasting. It evolves that statistical evidence on cointegration is not equivalent to better forecasting properties by the implied cointegrating structure.
- Organisation(s)
- Department of Economics
- External organisation(s)
- Central University College
- Journal
- Engineering Proceedings
- Volume
- 5
- ISSN
- 2673-4591
- DOI
- https://doi.org/10.3390/engproc2021005055
- Publication date
- 07-2021
- Peer reviewed
- Yes
- Austrian Fields of Science 2012
- 502025 Econometrics, 502051 Economic statistics
- Keywords
- ASJC Scopus subject areas
- Mechanical Engineering, Electrical and Electronic Engineering, Industrial and Manufacturing Engineering, Biomedical Engineering
- Portal url
- https://ucrisportal.univie.ac.at/en/publications/prediction-of-consumption-and-income-in-national-accounts-simulationbased-forecast-model-selection(5f6f3f82-a373-4da5-9bb4-634390ba8819).html