Hansson, Jesper; Jansson, Per; Löf, Mårten - Konjunkturinstitutet, Stockholm - 2003
filtering out unimportant idiosyncratic noise in the underlying survey data. In this way, it is possible to model a rather large … number of noise-reduced survey variables in a parsimoniously parameterised vector autoregression (VAR). To assess the … forecasting performance of the procedure, comparisons are made with VARs that either use the survey variables directly, are based …