Наукастинг и прогнозирование ВВП России и его компонентов с помощью квантильных моделей

Polbin, Andrey and Shumilov, Andrei (2025): Наукастинг и прогнозирование ВВП России и его компонентов с помощью квантильных моделей. Forthcoming in: Applied Econometrics (2025)

Abstract

The paper examines the quality of probabilistic nowcasts and short-term forecasts of the Russian GDP and its components in constant prices (consumption, investment, exports and imports) based on the standard quantile regression model and its shrinkage modifications, aimed at reducing the risk of overfitting (averages of quantile forecasts, partial quantile regression, regressions with regularization, Bayesian quantile regression). We find that quantile models with predictors are superior to autoregressive and OLS models in terms of CRPS (Continuous Ranked Probability Score) metrics in nowcasting exercises for investment and consumption. When forecasting 1-4 quarters ahead, shrinkage models yield the most accurate forecasts of GDP and consumption distributions at all horizons. For investment and imports, shrinkage methods turn out to be the best performers at three forecast horizons out of four. There is no single shrinkage model, which would provide the best probabilistic forecasts of macroeconomic variables much more often than others.

• Item Type: MPRA Paper
• English Title: Nowcasting and forecasting Russian GDP and its components using quantile models
• Language: Russian
• Keywords: macroeconomic forecasting; nowcasting; probabilistic forecast; quantile regressions; shrinkage; Bayesian methods; Russia
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation: Models and Applications; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications; F - International Economics > F1 - Trade > F17 - Trade Forecasting and Simulation

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