A Dynamic Factor Model for World Trade Growth:
This paper reviews the main monthly indicators that could help forecasting world trade and compares different type of forecasting models using these indicators. In particular it develops dynamic factor models (DFM) which have the advantage of handling larger datasets of information than bridge model...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Paris
OECD Publishing
2011
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Schriftenreihe: | OECD Economics Department Working Papers
no.874 |
Schlagworte: | |
Online-Zugang: | Volltext |
Zusammenfassung: | This paper reviews the main monthly indicators that could help forecasting world trade and compares different type of forecasting models using these indicators. In particular it develops dynamic factor models (DFM) which have the advantage of handling larger datasets of information than bridge models and allowing for the inclusion of numerous monthly indicators on a national and world-wide level such as financial indicators, transportation and shipping indices, supply and orders variables and information technology indices. The comparison of the forecasting performance of the DFMs with more traditional bridge equation models as well as autoregressive benchmarking models shows that, the dynamic factor approach seems to perform better, especially when a large set of indicators is used, but also that the marginal gains in adding indicators seems to diminish after a certain stage. |
Beschreibung: | 1 Online-Ressource (29 p.) 21 x 29.7cm. |
DOI: | 10.1787/5kg9zbvvwqq2-en |
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author | Guichard, Stéphanie |
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spelling | Guichard, Stéphanie VerfasserIn aut A Dynamic Factor Model for World Trade Growth Stéphanie, Guichard and Elena, Rusticelli = Un modèle à facteurs dynamiques pour prévoir la croissance du commerce mondial / Stéphanie, Guichard et Elena, Rusticelli Un modèle à facteurs dynamiques pour prévoir la croissance du commerce mondial Paris OECD Publishing 2011 1 Online-Ressource (29 p.) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.874 This paper reviews the main monthly indicators that could help forecasting world trade and compares different type of forecasting models using these indicators. In particular it develops dynamic factor models (DFM) which have the advantage of handling larger datasets of information than bridge models and allowing for the inclusion of numerous monthly indicators on a national and world-wide level such as financial indicators, transportation and shipping indices, supply and orders variables and information technology indices. The comparison of the forecasting performance of the DFMs with more traditional bridge equation models as well as autoregressive benchmarking models shows that, the dynamic factor approach seems to perform better, especially when a large set of indicators is used, but also that the marginal gains in adding indicators seems to diminish after a certain stage. Economics Rusticelli, Elena MitwirkendeR ctb FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/5kg9zbvvwqq2-en Volltext |
spellingShingle | Guichard, Stéphanie A Dynamic Factor Model for World Trade Growth Economics |
title | A Dynamic Factor Model for World Trade Growth |
title_alt | Un modèle à facteurs dynamiques pour prévoir la croissance du commerce mondial |
title_auth | A Dynamic Factor Model for World Trade Growth |
title_exact_search | A Dynamic Factor Model for World Trade Growth |
title_full | A Dynamic Factor Model for World Trade Growth Stéphanie, Guichard and Elena, Rusticelli = Un modèle à facteurs dynamiques pour prévoir la croissance du commerce mondial / Stéphanie, Guichard et Elena, Rusticelli |
title_fullStr | A Dynamic Factor Model for World Trade Growth Stéphanie, Guichard and Elena, Rusticelli = Un modèle à facteurs dynamiques pour prévoir la croissance du commerce mondial / Stéphanie, Guichard et Elena, Rusticelli |
title_full_unstemmed | A Dynamic Factor Model for World Trade Growth Stéphanie, Guichard and Elena, Rusticelli = Un modèle à facteurs dynamiques pour prévoir la croissance du commerce mondial / Stéphanie, Guichard et Elena, Rusticelli |
title_short | A Dynamic Factor Model for World Trade Growth |
title_sort | dynamic factor model for world trade growth |
topic | Economics |
topic_facet | Economics |
url | https://doi.org/10.1787/5kg9zbvvwqq2-en |
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