Short-Term Forecasting of GDP under Structural Changes

Rafael Ravnik ()

No 40, Working Papers from The Croatian National Bank, Croatia

Abstract: This paper proposes several models with time-varying parameters, estimated by Bayesian techniques used for the shortterm forecasting of Croatian GDP. In addition to domestic variables, the models include EU GDP, so that the specificities of a small open economy have been taken into account. The predictive ability of the models is compared with the naive benchmark forecast. The results indicate that the modelling of time-varying parameters improves GDP forecasts in comparison with the naive benchmark model, and in addition, it has been established that mean forecast errors for all tested models with time-varying parameters are smaller than the errors of equally specified fixed parameter models.

Keywords: GDP forecasts; Bayesian models with time-varying parameters (search for similar items in EconPapers)
JEL-codes: C32 E37 E47 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2014-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:hnb:wpaper:40

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