forecasting. aruoba-diebold-scotti (adsa) business index, fed at philadelphia the...
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Forecasting
Aruoba-Diebold-Scotti (ADSA)Business Index, Fed at Philadelphia The Aruoba-Diebold-Scotti business conditions
index is designed to track real business conditions at high frequency. Its underlying economic indicators (weekly initial jobless claims; monthly payroll employment, industrial production, personal income less transfer payments, manufacturing and trade sales; and quarterly real GDP) blend high- and low-frequency information and stock and flow data. Both the ADS index and this web page are updated as data on the index's underlying components are released.
Last Two years
Since 2000
Since 1960
-6
-4
-2
0
2
4
08:1 08:2 08:3 08:4 09:1 09:2 09:3 09:4 10:1 10:2
Q109Q208Q209
Q3O8Q408
Q208
Q308
Q408
Q109
Q209
Forecasts of Rate of Real GDP Growth
Survey of Professional Forecasters
Probability Distribution on Annual growth
Lab 9 ARMA(1,1) model for dlnppifgs
-0.04
-0.02
0.00
0.02
0.04
-0.04
-0.02
0.00
0.02
0.04
75 80 85 90 95 00 05
Residual Actual Fitted
Validation
Correlogram unsatisfactory
0
20
40
60
80
100
120
-0.03 -0.02 -0.01 0.00 0.01 0.02
Series: ResidualsSample 1974:04 2009:04Observations 421
Mean 1.25E-05Median 0.000398Maximum 0.019766Minimum -0.029654Std. Dev. 0.005327Skewness -0.756870Kurtosis 7.634678
Jarque-Bera 416.9944Probability 0.000000
Serial correlation test; unsatisfactory
Validation Serial correlation test and correlogram of
residuals says we need to keep truckinng
Try Arch/Garch
Validation; standardized residuals
Standardized residuals
Standardized residuals squared
Arch LM test
Histogram of Standardized residuals
0
10
20
30
40
50
60
-3 -2 -1 0 1 2 3 4
Series: Standardized ResidualsSample 1974:04 2009:04Observations 421
Mean 0.000408Median 0.053132Maximum 3.812057Minimum -3.539766Std. Dev. 1.003577Skewness -0.054248Kurtosis 4.572801
Jarque-Bera 43.59936Probability 0.000000
Conditional variance
Forecast
Cross-correlation of dlnppifgs & Garch01
Granger test
VAR
Impulse response functions
-0.002
0.000
0.002
0.004
0.006
1 2 3 4 5 6 7 8 9 10
Response of DLNPPIFGS to DLNPPIFGS
-0.002
0.000
0.002
0.004
0.006
1 2 3 4 5 6 7 8 9 10
Response of DLNPPIFGS to GARCH01
-0.000015
-0.000010
-0.000005
0.000000
0.000005
0.000010
0.000015
1 2 3 4 5 6 7 8 9 10
Response of GARCH01 to DLNPPIFGS
-0.000015
-0.000010
-0.000005
0.000000
0.000005
0.000010
0.000015
1 2 3 4 5 6 7 8 9 10
Response of GARCH01 to GARCH01
Response to One S.D. Innovations ± 2 S.E.
Reverse order
-0.002
0.000
0.002
0.004
0.006
1 2 3 4 5 6 7 8 9 10
Response of DLNPPIFGS to DLNPPIFGS
-0.002
0.000
0.002
0.004
0.006
1 2 3 4 5 6 7 8 9 10
Response of DLNPPIFGS to GARCH01
-0.000010
-0.000005
0.000000
0.000005
0.000010
0.000015
0.000020
1 2 3 4 5 6 7 8 9 10
Response of GARCH01 to DLNPPIFGS
-0.000010
-0.000005
0.000000
0.000005
0.000010
0.000015
0.000020
1 2 3 4 5 6 7 8 9 10
Response of GARCH01 to GARCH01
Response to One S.D. Innovations ± 2 S.E.