Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models

© Springer International Publishing AG 2017. In this study, we compare the performance between three leading indicators, namely, export, unemployment rate, and SET index in forecasting QGDP growth in Thailand using the mixed-frequency data sampling (MIDAS) approach. The MIDAS approach allows us to u...

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Main Authors:	Natthaphat Kingnetr, Tanaporn Tungtraku, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Agricultural and Biological Sciences
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012888853&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46687
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Institution:	Chiang Mai University

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spelling	th-cmuir.6653943832-466872018-04-25T07:27:39Z Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models Natthaphat Kingnetr Tanaporn Tungtraku Songsak Sriboonchitta Agricultural and Biological Sciences © Springer International Publishing AG 2017. In this study, we compare the performance between three leading indicators, namely, export, unemployment rate, and SET index in forecasting QGDP growth in Thailand using the mixed-frequency data sampling (MIDAS) approach. The MIDAS approach allows us to use monthly information of leading indicators to forecast QGDP growth without transforming them into quarterly frequency. The basic MIDAS model and the U-MIDAS model are considered. Our findings show that unemployment rate is the best leading indicator for forecasting QGDP growth for both MIDAS settings. In addition, we investigate the forecast performance between the basic MIDAS model and the U-MIDAS model. The results suggest that the U-MIDAS model can outperform the basic MIDAS model regardless of leading indicators considered in this study. 2018-04-25T06:59:31Z 2018-04-25T06:59:31Z 2017-02-01 Book Series 1860949X 2-s2.0-85012888853 10.1007/978-3-319-50742-2_31 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012888853&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46687
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Agricultural and Biological Sciences
spellingShingle	Agricultural and Biological Sciences Natthaphat Kingnetr Tanaporn Tungtraku Songsak Sriboonchitta Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models
description	© Springer International Publishing AG 2017. In this study, we compare the performance between three leading indicators, namely, export, unemployment rate, and SET index in forecasting QGDP growth in Thailand using the mixed-frequency data sampling (MIDAS) approach. The MIDAS approach allows us to use monthly information of leading indicators to forecast QGDP growth without transforming them into quarterly frequency. The basic MIDAS model and the U-MIDAS model are considered. Our findings show that unemployment rate is the best leading indicator for forecasting QGDP growth for both MIDAS settings. In addition, we investigate the forecast performance between the basic MIDAS model and the U-MIDAS model. The results suggest that the U-MIDAS model can outperform the basic MIDAS model regardless of leading indicators considered in this study.
format	Book Series
author	Natthaphat Kingnetr Tanaporn Tungtraku Songsak Sriboonchitta
author_facet	Natthaphat Kingnetr Tanaporn Tungtraku Songsak Sriboonchitta
author_sort	Natthaphat Kingnetr
title	Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models
title_short	Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models
title_full	Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models
title_fullStr	Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models
title_full_unstemmed	Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models
title_sort	forecasting gdp growth in thailand with different leading indicators using midas regression models
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012888853&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46687
_version_	1681422920680734720

Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models

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