Lifescience Global :: Abstract : ARIMA Forecasting Chinese Macroeconomic Variables Based on Factor and Principal Component Backdating

Journal of Basic and Applied Sciences

ARIMA Forecasting Chinese Macroeconomic Variables Based on Factor¹ 

关键词: Backdating;    Factor model;    Principal components;    ARIMA forecasting;    GDP of China.;   

DOI  :  

学科分类：生物科学（综合）

来源: Lifescience Global

【 摘 要 】

  In this paper the backdating methods based on factors and principal components are applied for the first time to emulate the historical macroeconomic variables in China. The numerical results show that these procedures are useful to backdate some missing or not available historical data. ARIMA forecasting experiments based on backdated historical data are conducted and compared with forecasting procedures using directly factors and principal components. Our results suggest that some key variables like GDP can indeed be forecasted more precisely with the principal components backdated data.

【 授权许可】

CC BY