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U.S. Retail Sales, February 2014 Preview: Slight Rise Expected

By James PicernoMarket OverviewMar 12, 2014 05:57AM ET
www.investing.com/analysis/u.s.-retail-sales,-february-2014-preview:-slight-rise-expected-205713
U.S. Retail Sales, February 2014 Preview: Slight Rise Expected
By James Picerno   |  Mar 12, 2014 05:57AM ET
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US retail sales are expected to rise 0.1% in tomorrow’s February report vs. the previous month, according to The Capital Spectator’s median econometric forecast. The prediction represents an improvement over the previously reported 0.4% decrease for January. Meanwhile, the Capital Spectator’s median projection for February is slightly below three consensus estimates based on recent surveys of economists.

Here’s a closer look at the numbers, followed by brief definitions of the methodologies behind The Capital Spectator’s projections:

US Retail Sales February 2014 Preview
US Retail Sales February 2014 Preview

R-2: A linear regression model that analyzes two data series in context with retail sales: an index of weekly hours worked for production/nonsupervisory employees in private industries and the stock market (S&P 500). The historical relationship between the variables is applied to the more recently updated data to project retail sales. The computations are run in R.

ARIMA: An autoregressive integrated moving average model that analyzes the historical record of retail sales in R via the “forecast” package.

ES: An exponential smoothing model that analyzes the historical record of retail sales in R via the “forecast” package.

VAR-6: A vector autoregression model that analyzes six time series in context with retail sales. The six additional series: US private payrolls, industrial production, index of weekly hours worked for production/nonsupervisory employees in private industries, the stock market (S&P 500), disposable personal income, and personal consumption expenditures. The forecasts are calculated in R with the “vars” package.

TRI: A model that’s based on combining point forecasts, along with the upper and lower prediction intervals (at the 95% confidence level), via a technique known as triangular distributions. The basic procedure: 1) run a Monte Carlo simulation on the combined forecasts and generate 1 million data points on each forecast series to estimate a triangular distribution; 2) take random samples from each of the simulated data sets and use the expected value with the highest frequency as the prediction. The forecast combinations are drawn from the following projections: Econoday.com’s consensus forecast data and the predictions generated by the models above. The forecasts are run in R with the “triangle” package.

U.S. Retail Sales, February 2014 Preview: Slight Rise Expected
 

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U.S. Retail Sales, February 2014 Preview: Slight Rise Expected

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