Working Paper

A multi-country approach to forecasting output growth using PMIs

Abstract: This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the strong factors and establish conditions under which forecasts from the augmented GVAR model (AugGVAR) uniformly converge in probability (as the panel dimensions N,T? ? such that N/T?? for some 0

JEL Classification: C53; E37;

Access Documents

File(s): File format is application/pdf
Description: Full text


Bibliographic Information

Provider: Federal Reserve Bank of Dallas

Part of Series: Globalization Institute Working Papers

Publication Date: 2014-11-01

Number: 213

Pages: 57 pages

Note: Published as: Chudik, Alexander, Valerie Grossman and M. Hashem Pesaran (2016), "A Multi-Country Approach to Forecasting Output Growth Using PMIs," Journal of Econometrics 192 (2): 349-365.