Munich Personal RePEc Archive

Сравнительный анализ прогнозных моделей российского ВВП в условиях наличия структурных сдвигов

Fokin, Nikita and Haritonova, Marina (2020): Сравнительный анализ прогнозных моделей российского ВВП в условиях наличия структурных сдвигов.

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Abstract

In this paper we compare two types of models for forecasting Russia’s GDP under the structural breaks. We consider models that allow breaks in a deterministic trend, in which the dates of structural breaks set exogenously, and more flexible class of models – with a stochastic trend. We show that models with a stochastic trend demonstrate the best result in GDP growth rates forecasting for a year ahead. For shorter horizons, the best forecasting model is the error correction model with a break in the deterministic trend in the GDP level.

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