Working Papers, Konjunkturinstitutet - National Institute of Economic Research
Forecasting Business Investment in the Short Term Using Survey Data
Abstract: In this paper, forecasting models for Swedish business
investment growth which make use of data from Sweden’s most important
business survey – the Economic Tendency Survey – are evaluated.
out-of-sample forecast exercise using nine years of quarterly real-time
data is conducted. The results suggest that the survey data have
informational value that can be used to improve forecasts.
surprisingly, the time series with the highest predictive power for
business investment growth tend to be based on data for the investment
goods industry. Forecasts based on a simple arithmetic mean of individual
model forecasts do well in the evaluation and should accordingly be useful
when forecasting Swedish business investment in practice.
Keywords: Out-of-sample forecasts; Real-time data; (follow links to similar papers)
JEL-Codes: E22; E27; (follow links to similar papers)
15 pages, November 19, 2013
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