Business survey data in forecasting the output of swedish and finnish metal and engineering industries: A kalman filter approach

Markku Rahiala · Timo Teräsvirta Y

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Grey System Theory Applications

Abstract

Abstract In this paper forecasting the production volume of the Swedish and Finnish metal and engineering industries one quarter ahead is discussed. A practical way of making use of the predictive information in the answers of the quarterly business survey is presented which is based on the application of the Kalman filter. It is found that the most informative questions of the business survey from the point of view of forecasting are different in the two countries. However, for both Sweden and Finland, the improvement in prediction accuracy after taking account of relevant business survey information is significant when the precision of autoprojective forecasts is used as a baseline.

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References

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2000Forecasting OECD industrial turning points using unobserved components models with business survey data 1996Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990–1993 1996Smooth and timely business cycle indicators for noisy Swedish data 2004Explaining Forecast Failure in Macroeconomics

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