Forecasting Singapore's economy using statistical learning and factor models

• Main Authors: Foo, Benedict, Koh, Deng Yao, Tan, Juan Pang, Wang, Wenjie
• 其他作者: School of Social Sciences
• 格式: Article
• 語言: English
• 出版: 2023
• 主題: Social sciences::Economic theory; Diffusion Index; Forecasting
• 在線閱讀: https://hdl.handle.net/10356/170350

We evaluate the performance of the penalized vector autoregression (VAR), diffusion index (DI), and regression tree-based ensemble learning models to forecast Singapore's macroeconomy using high-dimensional data. Our dataset consists of 220 monthly time series that capture the economy of Singap...