Hao Xu

Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms

Publisher: Elsevier BV

Date: 05-2023

DOI: 10.1016/J.ECONMOD.2023.106204

Forecasting models for the Chinese macroeconomy in a data‐rich environment: Evidence from large dimensional approximate factor models with mixed‐frequency data

Publisher: Wiley

Date: 06-2035

DOI: 10.1111/ACFI.13003

Abstract: Our paper contributes to the nascent literature on forecasting the Chinese macroeconomy in a data‐rich environment. We perform a horse race among a large set of traditional models and two classes of factor models with 251 monthly and 34 quarterly macroeconomic variables over the period from January 2002 to June 2018. We find evidence that mixed‐frequency factor models provide superior forecasts of the CPI, RPI, investment, and consumption when compared to the simple benchmark. During the Global Financial Crisis period, we find little evidence of superiority of factor models over the simple benchmark AR( p ) model.

Zhongnan University Of Economics And Law

Location: China

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University Of Southampton

Location: United Kingdom of Great Britain and Northern Ireland

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University Of Southampton

Location: No location found

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University Of Essex

Location: No location found

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Zhejiang Lab

Location: China

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Huazhong University Of Science And Technology

Location: China

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University Of Essex

Location: United Kingdom of Great Britain and Northern Ireland

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