Initial Steps in High- Frequency Modeling of China
Results are Promising and Informative
Lawrence R. Klein is Benjamin
Franklin Professor Emeritus at the
University of Pennsylvania. He
has served on the faculties of the
University of Chicago, University
of Michigan, University of Oxford,
and the University of
Pennsylvania, where he taught for
33 years. Dr. Klein is an econometrician
and constructed several
statistical models of the United States and various other
countries. At Penn, he founded the Wharton Econometric
Forecasting Associates (WEFA) and was a principal
investigator of Project LINK, which combined models
from countries throughout the world for studying international
trade and payments and global economic activity.
He served as president of many learned societies,
edited scholarly journals, and advised governments in
matters of economic policy. In 1976, he coordinated
Jimmy Carter's economic task force in a successful campaign
for the presidency of the United States. In 1980,
he was the Nobel Laureate in Economics. Since 1984,
Dr. Klein has been director and chairman of the
Economic Policy Committee of W.P. Carey & Co. He
earned his B.A. from the University of California,
Berkeley and his doctorate at the Massachusetts Institute
of Technology.
Wendy Mak presently specializes in
research on China and other Asia
at the University of Pennsylvania.
Prior to that, she worked as an
economist in Global Insight.
Graduated from University of
British Columbia, she obtained a
Bachelor of Commerce degree in
Finance and a MA degree in
Economics.
This paper presents the first step in building a forecasting model of China’s GDP. Being constrained by a statistical history that effectively begins in 1993, it uses high frequency data and principal components analysis to construct a single-equation model that generates elasticities and is applied to two-quarter-ahead forecasts. Initial results suggest a gradual deceleration of growth, consistent with Chinese government policy.
A version of this paper was presented as part of Lawrence R. Klein’s
Adam Smith Award Address at the NABE Annual Meeting, October 4, 2004.
The Adam Smith Award Address was sponsored by Global Insight.
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