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Forecasting investment: A fishing contest using survey data

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  • José R. Maria
  • Sara Serra

Abstract

This paper assesses the usefulness of business surveys as a source of information for investment developments in Portugal. This will be achieved by what will be named a “fishing contest”, where the “participants” are bridge models, models based on principal components (derived from standard and non-standard methods), and models built with the outcome of partial least squares regressions. All models, based on quarterly data, are estimated using a general-to-specific approach and are designed to produce 1 to 4 out-of-sample direct forecasts. The accuracy of these forecasts is then compared with the one of autoregressive processes. The empirical evidence indicates that, in general, there is always a participant in the fishing context that produces a lower out-of-sample Root Mean Squared Error (RMSE) than the one associated with the autoregressive benchmark. In most cases, the combination of autoregressive processes with each participant reduces the RMSE further. A striking outcome is the relative accuracy of bridge models.

Suggested Citation

  • José R. Maria & Sara Serra, 2008. "Forecasting investment: A fishing contest using survey data," Working Papers w200818, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w200818
    as

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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp200818.pdf
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    References listed on IDEAS

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    Cited by:

    1. José R. Maria & Sara Serra, . "Previsão do Investimento em Portugal com Base em Indicadores Qualitativos e Quantitativos," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    2. António Rua & Paulo Esteves, 2012. "Short-term forecasting for the portuguese economy: a methodological overview," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    3. Cláudia Duarte & Sónia Cabral, 2016. "Nowcasting Portuguese tourism exports," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity

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