DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables

Anastasia Mogilat (), Oleg Kryzhanovskiy (), Zhanna Shuvalova () and Yaroslav Murashov ()
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Anastasia Mogilat: Bank of Russia
Oleg Kryzhanovskiy: Bank of Russia; Tyumen State University
Zhanna Shuvalova: Bank of Russia
Yaroslav Murashov: Bank of Russia
Authors registered in the RePEc Author Service: Oleg Andreevich Kryzhanovskij

Russian Journal of Money and Finance, 2024, vol. 83, issue 2, 3-25

Abstract: DYFARUS is a dynamic factor model used for forecasting GDP. It applies cross-sectoral linkages in the Russian economy using input-output tables. The model is evaluated using an expectation maximisation algorithm and the Kalman filter on Russian and global statistics from January 2011 to December 2022. The model uses quantitative links between economic variables assessed on actual data, which progressively produce forecast values for all sectors reviewed. This study forecasts and evaluates the contributions of each sector to the future GDP path.

Keywords: GDP; sectoral analysis; dynamic factor model; Kalman filter; input-output tables (search for similar items in EconPapers)
JEL-codes: C53 C67 C82 E17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:bkr:journl:v:83:y:2024:i:2:p:3-25

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