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Forecasting Investment: A Fishing Contest Using Survey Data

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Executive Summary

This paper assesses the usefulness of business surveys as a source of information for investment developments in Portugal. This will be achieved by what will be named a "Fishing contest", where the "Participants" are bridge models, models based on principal components (derived from standard and non-standard methods), and models built with the outcome of partial least squares regressions. All models, based on quarterly data, are estimated using a general-to-specific approach and are designed to produce 1 to 4 out-of-sample direct forecasts.

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