Forecasting Singapore's quarterly GDP with monthly external trade |
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Authors: | Tilak Abeysinghe |
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Affiliation: | Department of Economics and Statistics, National University of Singapore, 10 Kent Ridge Crescent, Singapore 119260, Singapore |
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Abstract: | In this paper we suggest a methodology to formulate a dynamic regression with variables observed at different time intervals. This methodology is applicable if the explanatory variables are observed more frequently than the dependent variable. We demonstrate this procedure by developing a forecasting model for Singapore's quarterly GDP based on monthly external trade. Apart from forecasts, the model provides a monthly distributed lag structure between GDP and external trade, which is not possible with quarterly data. |
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Keywords: | Variables observed at different time intervals Non-linear dynamic regression |
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