Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP

Tóth, Peter (2014): Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP.

Abstract

In this article we estimate a small dynamic factor model (DFM) for the short-term forecasting of Slovak GDP. The model predicts the developments of real activity in the next two quarters on the basis of monthly data, which are published earlier than GDP. The regular release of various monthly indicators allows about a weekly update of the short-term outlook. Our DFM contains six monthly indicators, which are retail sales, sales in industry and construction, employment in selected industries, health care contributions of employers, export and the PMI for the eurozone. These approximate the production, expenditure and income side of GDP. The forecast accuracy of the factor model prevails over simple approaches not relying on monthly data, such as the random walk and the autoregressive models of the GDP series.

• Item Type: MPRA Paper
• English Title: A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP
• Language: Slovak
• Keywords: dynamic factor model, GDP, short-term forecasting
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E23 - Production; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications

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