Prediction of consumption and income in national accounts: Simulation-based forecast model selection

Robert Kunst, Adusei Jumah

Publications: Contribution to journalArticlePeer Reviewed

Abstract

Simulation-based forecast model selection considers two candidate forecast model classes, simulates from both models fitted to data, applies both forecast models to simulated structures, and evaluates the relative benefit of each candidate prediction tool. This approach, for example, determines a sample size beyond which a candidate predicts best. In an application, aggregate household consumption and disposable income provide an example for error correction. With panel data for European countries, we explore whether and to what degree the cointegration properties benefit forecasting. It evolves that statistical evidence on cointegration is not equivalent to better forecasting properties by the implied cointegrating structure.

Original languageEnglish
Article number55
JournalEngineering Proceedings
Volume5
Issue number1
DOIs
Publication statusPublished - Jul 2021

Austrian Fields of Science 2012

  • 502025 Econometrics
  • 502051 Economic statistics

Keywords

  • forecasting
  • household saving rate
  • parametric bootstrap

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