Estimating and Forecasting GDP in Poland with Dynamic Factor Model

Jaroslaw Krajewski
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Jaroslaw Krajewski: Nicolaus Copernicus University in Torun

Dynamic Econometric Models, 2009, vol. 9, 139-145

Abstract: Presented paper concerns the dynamic factor models theory and application in the econometric analysis of GDP in Poland. DFMs are used for construction of the economic indicators and in forecasting, in analyses of the monetary policy and international business cycles. In the article we compare the forecast accuracy of DFMs with the forecast accuracy of 2 competitive models: AR model and symptomatic model. We have used 41 quarterly time series from the Polish economy. The results are encouraging. The DFM outperforms other models. The best fitted to empirical data was model with 3 factors.

Keywords: Dynamic factor models; principal components analysis; GDP. (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:9:y:2009:p:139-145

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