Forecasting Swedish Output Growth: : An Empirical Comparison of MIDAS Regressions and theRAMSES Model

Sammanfattning: This thesis compares MIDAS regressions, introduced in Ghysels, Santa-Clara and Valkanov (2002), to the RAMSES model, used by the Riksbank,in forecasting Swedish quarterly output growth (GDP). Using Swedish GPDdata from 1993Q1 and onwards, we compare forecasts for the period 2010Q1to 2011Q4, and we show that for longer forecast horizons (commonly usedby the Riksbank for monetary policy decisions), such as two and three yearsahead in time, the MIDAS regressions clearly outperforms the RAMSESmodel. For shorter horizons the results are not conclusive.KEYWORDS: MIDAS, GDP, forecasting, Sveriges Riksbank