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On The Predictive Content Of Production Surveys: A Pan-European Study

Author

Listed:
  • Lemmens, A.
  • Croux, C.
  • Dekimpe, M.G.

Abstract

For over forty years, Business Tendency Surveys have been collected in multiple member states of the European Union. Previous research has studied the predictive accuracy of the expectation variables included in those surveys through bivariate, within-country, Granger-causality tests, which has resulted in mixed conclusions. We extend previous research in various ways, as we (i) explicitly allow for cross-country influences, and (ii) do so using both bivariate and multivariate Granger-causality tests. Specifically, the multivariate El-Himdi and Roy test is adapted to jointly test the forecasting value of multiple production expectation series, to assess whether part of this joint effect is indeed due to cross-country influences, and to determine which countries' expectation series have most "clout" in predicting the production levels in the other member countries, or have higher "receptivity", in that their production levels are Granger-caused by the other countries' expectations.

Suggested Citation

  • Lemmens, A. & Croux, C. & Dekimpe, M.G., 2004. "On The Predictive Content Of Production Surveys: A Pan-European Study," ERIM Report Series Research in Management ERS-2004-017-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    • Handle: RePEc:ems:eureri:1175
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    business surveys; cross-correlations; granger causality; production expectations;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics
    • M31 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - Marketing

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