Forecasting Singapore's economy using statistical learning and factor models

• Main Authors: Foo, Benedict, Koh, Deng Yao, Tan, Juan Pang, Wang, Wenjie
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2023
• Subjects: Social sciences::Economic theory; Diffusion Index; Forecasting
• Online Access: https://hdl.handle.net/10356/170350
• Institution: 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...