Forecasting Singapore's economy using statistical learning and factor models

• المؤلفون الرئيسيون: Foo, Benedict, Koh, Deng Yao, Tan, Juan Pang, Wang, Wenjie
• مؤلفون آخرون: School of Social Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2023
• الموضوعات: Social sciences::Economic theory; Diffusion Index; Forecasting
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/170350
• المؤسسة: Nanyang Technological University

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...