Translated Titles

Evaluating and Updating Economic Growth Rate Forecasts




陳宜廷(Yi-Ting Chen);徐士勛(Shih-Hsun Hsu);劉瑞文(Ruey-Wan Liou);莊額嘉(O-Chia Chuang)

Key Words

經濟成長率 ; 條件動差檢定 ; 擴散指標 ; 預測誤差 ; 預測更新 ; economic growth rate ; conditional moment test ; diffusion index ; forecasting error ; forecast updating model



Volume or Term/Year and Month of Publication

39卷1期(2011 / 03 / 01)

Page #

1 - 44

Content Language


Chinese Abstract


English Abstract

In this empirical study, we evaluate the one-quarter-ahead economic-growth- rate forecasting performance of Taiwan's Directorate General of Budget, Accounting and Statistics (DGBAS) and provide certain forecast updating models to improve the forecasting performance. Specifically, the DGBAS forecasting error sequence has significant autocorrelation of order one and is correlated with the macroeconomic diffusion indexes. This motivates us to propose a set of models for updating the DGBAS forecast. Among these models, the simplest one needs only the current DGBAS forecast and the previous DGBAS forecasting error, and the best model extends this simple model by including certain properly selected diffusion indexes as explanatory variables. The updated models considerably outperform the DGBAS forecast and the pure diffusion index models (that do not account for the DGBAS forecast) in both the in-sample and out-of-sample comparisons.

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