The use of consumer and business surveys in forecasting

Klein, Lawrence R.; Özmucur, Süleyman

doi:10.1016/j.econmod.2010.07.005

Cited by 38 publications

(27 citation statements)

References 5 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Österholm (2011, 2012), Lui et al (2011a,b) and Maag (2009) reached similar conclusions. On the other hand, there is ample evidence that survey expectations provide useful information for economic modelling (Altug and Çakmakli, 2016;Dua, 1992, 1998;Dees and Brinca, 2013;Girardi, 2014;Hansson et al, 2005;JeanBaptiste, 2012;Klein and Özmucur, 2010;Leduc and Sill, 2013;Lemmens et al, 2005;Müller, 2009;Qiao et al, 2009;Schmeling and Schrimpf, 2011).…”

Section: Resultsmentioning

confidence: 99%

A new approach for the quantification of qualitative measures of economic expectations

2016

View full text Add to dashboard Cite

In this study a new approach to quantify qualitative survey data about the direction of change is presented. We propose a data-driven procedure based on evolutionary computation that avoids making any assumption about agents' expectations. The research focuses on experts' expectations about the state of the economy from the World Economic Survey in twenty eight countries of the Organisation for Economic Co-operation and Development. The proposed method is used to transform qualitative responses into estimates of economic growth. In a first experiment, we combine agents' expectations about the future to construct a leading indicator of economic activity. In a second experiment, agents' judgements about the present are combined to generate a coincident indicator. Then, we use index tracking to derive the optimal combination of weights for both indicators that best replicates the evolution of economic activity in each country. Finally, we compute several accuracy measures to assess the performance of these estimates in tracking economic growth. The different results across countries have led us to use multidimensional scaling analysis in order to group all economies in four clusters according to their performance. We obtain the best results for Belgium, Norway, Austria, Lithuania, Japan and the United Kingdom.

show abstract

Section: Resultsmentioning

confidence: 99%

A new approach for the quantification of qualitative measures of economic expectations

2016

View full text Add to dashboard Cite

show abstract

“…The balance statistic has been widely used in applied economics, both as the regressors in quantitative forecasts models (Guizzardi and Stacchini, 2015;Martinsen et al, 2014;Ghonghadze and Lux, 2012;Robinzonov, 2012;Lui et al, 2011a,b;Schmeling and Schrimpf, 2011;Franses et al, 2011;Klein and Özmucur, 2010;Graff, 2010;Claveria and Datzira, 2010;Claveria et al, 2007;Abberger, 2007;Mitchell et al, 2005a;Hansson et al, 2005;Mittnik and Zadrozny, 2005;Batchelor and Dua, 1998;Kauppi et al, 1996;Parigi and Schlitzer, 1995;Bergström, 1995;Rahiala and Teräsvirta, 1993;Biart and Praet, 1987), and also to test economic hypothesis (Girardi, 2014;Jean-Baptiste, 2012, Zárate et al, 2012Schmeling and Schrimpf, 2011;Österholm, 2011, 2012;Paloviita, 2006;Pesaran and Weale, 2006;Lemmens et al, 2005Lemmens et al, , 2008Pehkonen, 1992;Ivaldi, 1992;Batchelor and Dua, 1992;Ilmakunnas, 1989;Pesaran, 1987Pesaran, , 1985Pesaran, , 1984.…”

Section: Introductionmentioning

confidence: 99%

Quantification of Survey Expectations by Means of Symbolic Regression via Genetic Programming to Estimate Economic Growth in Central and Eastern European Economies

González

Monte

Porras

2016

Eastern European Economics

View full text Add to dashboard Cite

Abstract. Tendency surveys are the main source of agents' expectations. The main aim of this study is twofold. First, we propose a new method to quantify survey-based expectations by means of symbolic regression (SR) via genetic programming. Second, we combine the main SR-generated indicators to estimate the evolution of GDP, obtaining the best results in the Czech Republic and Hungary. Finally, we assess the impact of the 2008 financial crisis, finding an improvement in the capacity of agents' expectations in most Central and Eastern European economies to anticipate economic growth after the crisis.

show abstract

“…Balances have also been used as explanatory variables in economic models (Altug and Çakmakli 2016;Guizzardi and Stacchini 2015;Martinsen et al 2014;Ghonghadze and Lux 2012;Robinzonov et al 2012;Lui et al 2011aLui et al , 2011bSchmeling and Schrimpf 2011;Franses et al 2011;Klein and Özmucur 2010;Graff 2010;Claveria et al 2007;Abberger 2007;Mitchell et al 2005a;Hansson et al 2005;Mittnik and Zadrozny 2005;Batchelor and Dua 1998;Kauppi et al 1996;Parigi and Schlitzer 1995;Bergström 1995;Rahiala and Teräsvirta 1993;Biart and Praet 1987).…”

Section: Introductionmentioning

confidence: 99%

A Data-Driven Approach to Construct Survey-Based Indicators by Means of Evolutionary Algorithms

2016

View full text Add to dashboard Cite

In this paper we propose a data-driven approach for the construction of survey-based indicators using large data sets. We make use of agents' expectations about a wide range of economic variables contained in the World Economic Survey, which is a tendency survey conducted by the Ifo Institute for Economic Research. By means of genetic programming we estimate a symbolic regression that links survey-based expectations to a quantitative variable used as a yardstick, deriving mathematical functional forms that approximate the target variable. We use the evolution of GDP as a target. This set of empirically-generated indicators of economic growth, are used as building blocks to construct an economic indicator. We compare the proposed indicator to the Economic Climate Index, and we evaluate its predictive performance to track the evolution of the GDP in ten European economies. We find that in most countries the proposed indicator outperforms forecasts generated by a benchmark model.

show abstract

The use of consumer and business surveys in forecasting

Cited by 38 publications

References 5 publications

A new approach for the quantification of qualitative measures of economic expectations

A new approach for the quantification of qualitative measures of economic expectations

Quantification of Survey Expectations by Means of Symbolic Regression via Genetic Programming to Estimate Economic Growth in Central and Eastern European Economies

A Data-Driven Approach to Construct Survey-Based Indicators by Means of Evolutionary Algorithms

Contact Info

Product

Resources

About