Evaluating short-run forecasting properties of the KOF employment indicator for Switzerland in real time
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Author
Date
2009-05Type
- Working Paper
ETH Bibliography
yes
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Abstract
This study investigates the usefulness of the business tendency surveys collected at the KOF institute for short-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to simulate the actual predictive process using only the information that was available at the time when predictions were made. We evaluate the presence of predictive content of the KOF Employment Indicator both for nowcasts that are published two months before the first official release and for one-quarter ahead forecasts published five months before the first official release. We find that inclusion of the KOF Employment Indicator leads to substantial improvement both in in-sample as well as, more importantly, in out-of-sample prediction accuracy. This conclusion holds both for nowcasts and one-quarter ahead forecasts. Show more
Permanent link
https://doi.org/10.3929/ethz-a-005817192Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
Real-time data; ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH); BAYESIAN THEORY (PROBABILITY THEORY); LABOUR MARKET AND EMPLOYMENT; Bayesian model averaging; ARBEITSMARKT UND BESCHÄFTIGUNG; Employment; BAYESSCHE THEORIE (WAHRSCHEINLICHKEITSRECHNUNG); SCHWEIZ (MITTELEUROPA). SCHWEIZERISCHE EIDGENOSSENSCHAFT; SWITZERLAND (CENTRAL EUROPE). SWISS CONFEDERATION; ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH); TIME SERIES ANALYSIS (MATHEMATICAL STATISTICS); Forecasting; ZEITREIHENANALYSE (MATHEMATISCHE STATISTIK); Business tendency surveys; Schweizerische Gesellschaft für Konjunkturforschung; Société suisse de recherches conjoncturellesOrganisational unit
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
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Is source of: http://hdl.handle.net/20.500.11850/48801
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ETH Bibliography
yes
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