Short-term Forecasting of Real GDP Using Monthly Data

Juraj Hucek (), Alexander Karsay () and Marian Vavra ()
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Juraj Hucek: National Bank of Slovakia, Economic and Monetary Analyses Department
Alexander Karsay: National Bank of Slovakia, Economic and Monetary Analyses Department

No OP 1/2015, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This occasional paper considers the problem of forecasting, nowcasting, and backcasting the Slovak real GDP growth rate using approximate factor models. Three different versions of approximate factor models are proposed. Forecast comparison with other models such as bridge equation models and ARMA models is also provided. Our results reveal that factor models clearly outperform an ARMA model and can compete with bridge models currently used at the Bank. Therefore, we tend to incorporate factor models into the regular forecasting process at the Bank.Finally, we hold the view that future research should be devoted to further improvements of bridge models since these models are simple to construct, easy to understand, and widely used in central banks.

Keywords: factor models; principal components; bridge equations; short-term forecasting; GDP (search for similar items in EconPapers)
JEL-codes: C22 C38 C52 C53 E27 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2015-07
New Economics Papers: this item is included in nep-ecm, nep-for, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1035

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