Industrial Production Index Forecast: Methods Comparison

The purpose of this work is to investigate the suitability of different methods as short term forecast tools. It is studied and compared the application of the Kalman filter method with other forecasting methods when applied to a set of qualitative and quantitative information. The work data set is made of qualitative surveys of conjunture and the industrial production index (IPI). The objective is the attainment of short term forecast models for the Portuguese IPI of the transforming industry. After the previous treatment of the data, using different methods, the models are estimated and validated. At the end of this process the better models are selected by estimation and prediction measures. The next step of the process repeats the estimation of selected models using all sample, after which the actual forecast is done. IPI forecasts are sufficiently coincident with the estimates supplied by Portuguese National Institute of Statistics for the same period.