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

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:
Computer Science
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012888853&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/57108
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-571082018-09-05T03:35:07Z Forecasting GDP growth in Thailand with different leading indicators using MIDAS regression models Natthaphat Kingnetr Tanaporn Tungtraku Songsak Sriboonchitta Computer Science © 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. 2018-09-05T03:35:07Z 2018-09-05T03:35:07Z 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/6653943832/57108
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
spellingShingle Computer Science
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/6653943832/57108
_version_ 1681424817111171072

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