Nowcasting New Zealand GDP using machine learning algorithms, by Adam Richardson; Thomas van Florenstein Mulder; Tugrul Vehbi

Nowcasting New Zealand GDP using machine learning algorithms, by Adam Richardson; Thomas van Florenstein Mulder; Tugrul Vehbi

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Abstract

This paper analyses the real-time nowcasting performance of machine learning algorithms estimated on New Zealand data. Using a large set of real-time quarterly macroeconomic indicators, we train a range of popular machine learning algorithms and nowcast real GDP growth for each quarter over the 2009Q1-2018Q1 period. We compare the predictive accuracy of these nowcasts with that of other traditional univariate and multivariate statistical models. We find that the machine learning algorithms outperform the traditional statistical models. Moreover, combining the individual machine learning nowcasts further improves the performance than in the case of the individual nowcasts alone.

Suggested Citation

  • Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2018.
    "Nowcasting New Zealand GDP using machine learning algorithms,"
    CAMA Working Papers 2018-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Handle:

    RePEc:een:camaaa:2018-47

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    More about this item

    Keywords

    Nowcasting

    ;

    Machine learning

    ;

    Forecast evaluation

    ;

    JEL classification:

    • C52 – Mathematical and Quantitative Methods – – Econometric Modeling – – – Model Evaluation, Validation, and Selection
    • C53 – Mathematical and Quantitative Methods – – Econometric Modeling – – – Forecasting and Prediction Models; Simulation Methods
    • C55 – Mathematical and Quantitative Methods – – Econometric Modeling – – – Large Data Sets: Modeling and Analysis

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    via Economics and Finance Research | IDEAS/RePEc

    November 12, 2018 at 08:04PM https://ift.tt/2OBSg4E

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