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Business survey data in forecasting the output of swedish and finnish metal and engineering industries: A kalman filter approach
Author(s) -
Rahiala Markku,
Teräsvirta Timo
Publication year - 1993
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980120307
Subject(s) - kalman filter , quarter (canadian coin) , baseline (sea) , econometrics , computer science , survey data collection , filter (signal processing) , point (geometry) , operations research , industrial engineering , economics , engineering , statistics , artificial intelligence , mathematics , political science , geometry , archaeology , law , computer vision , history
In this paper forecasting the production volume of the Swedish and Finnish metal and engineering industries one quarter ahead is discussed. A practical way of making use of the predictive information in the answers of the quarterly business survey is presented which is based on the application of the Kalman filter. It is found that the most informative questions of the business survey from the point of view of forecasting are different in the two countries. However, for both Sweden and Finland, the improvement in prediction accuracy after taking account of relevant business survey information is significant when the precision of autoprojective forecasts is used as a baseline.