期刊名称：Journal of Management Science and Engineering
印刷版ISSN：2096-2320
出版年度：2019
卷号：4
期号：1
页码：1-11
DOI：10.1016/j.jmse.2019.03.002
语种：English
出版社：Elsevier
摘要：AbstractMacroeconomic forecasting in China is essential for the government to take proper policy decisions on government expenditure and money supply, among other matters. The existing literature on forecasting Chinas macroeconomic variables is unclear on the crucial issue of how to choose an optimal window to estimate parameters with rolling out-of-sample forecasts. This study fills this gap in forecasting economic growth and inflation in China, by using the rolling weighted least squares (WLS) with the practically feasible cross-validation (CV) procedure of Hong et al. (2018) to choose an optimal estimation window. We undertake an empirical analysis of monthly data on up to 30 candidate indicators (mainly asset prices) for a span of 17 years (2000–2017). It is documented that the forecasting performance of rolling estimation is sensitive to the selection of rolling windows. The empirical analysis shows that the rolling WLS with the CV-based rolling window outperforms other rolling methods on univariate regressions in most cases. One possible explanation for this is that these macroeconomic variables often suffer from structural changes due to changes in institutional reforms, policies, crises, and other factors. Furthermore, we find that, in most cases, asset prices are key variables for forecasting macroeconomic variables, especially output growth rate.
关键词：Cross-validation;Optimal rolling window;Rolling out-of-sample forecasts;Structural changes;Weighted least squares
