Forecasting the Real Index of Gross Domestic Product Using Dynamic Factor Models

Прогнозирование реального индекса валового внутреннего продукта с использованием динамических факторных моделей

Yury Pleskachev and Yuriy Ponomarev

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: Successful implementation of economic policy measures largely depends on the efficiency and accuracy of forecasts of key macroeconomic parameters of the economy. Deceleration of Russia's economic growth in the years 2013-2014 and the subsequent fall in GDP in 2015-2016 once again demonstrated the importance of taking urgent and at the same time balanced decisions, the basis for which should be the most relevant statistical base on key indicators, including real GDP. At the same time quarterly data on GDP dynamics is published with a considerable delay, which leads to the need of short-term forecasts in real time. The use of dynamic factor models for rapid forecasting of GDP has become particularly popular in world literature and also in practice (such models are used by the central Banks of the world's leading countries) over the last few years due to more accurate forecasts that allow to obtain the model data, as well as the fact that they allow to take into account changes in economic conditions and their impact on the country's economy in the formation of PUBLIC policy measures before the relevant statistical data are published.

Pages: 79 pages
Date: 2018-03
New Economics Papers: this item is included in nep-cis, nep-for and nep-tra
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