Autoregression model for the GDP of the Russian Federation, supplemented by the indicator of business activity of trading partner countries

Модель авторегрессии для ВВП РФ, дополненная показателем деловой активности стран торговых партнеров

Tadzhibaeva, Liana (Таджибаева, Лиана) ()
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Tadzhibaeva, Liana (Таджибаева, Лиана): The Russian Presidential Academy of National Economy and Public Administration

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

Abstract: The model proposed in this paper is a modification of the second-order autoregressive process with the addition of an external variable that allows taking into account the cycles of trading partners to predict output. This model has shown a significant advantage in forecasting for the long-term horizon, which confirms the importance of taking into account the economic activity of partner countries when forecasting the GDP of the Russian Federation.

Keywords: GDP forecasting; business activity of trading partners; vector autoregressions; Bayesian methods (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2023-03-09
New Economics Papers: this item is included in nep-cis
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:w20220233

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