Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches

Innovations state space time series models that encapsulate the exponential smoothing methodology have been shown to be an accurate forecasting tool. These models for the first time are applied to Australian macroeconomic data. In addition new multivariate specifications are outlined and demonstrated to be accurate.

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Year of publication:	2010-12-13
Authors:	Silva, Ashton J de
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	exponential smoothing \| state space models \| multivariate time series \| macroeconomic variables

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E17 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008765099