The importance of modeling structural breaks in forecasting Russian GDP

Nikita Fokin

Applied Econometrics, 2021, vol. 63, 5-29

Abstract: The paper considers two types of models for forecasting seasonally adjusted Russian GDP under the structural breaks. Models that allow breaks in a deterministic trend, in which the dates of structural breaks are set exogenously, and more flexible class of models – with a stochastic trend are considered. It is shown that modeling a structural break in a deterministic trend or adding a stochastic trend significantly improves the quality of 3–4 steps ahead forecasts, and sometimes even on shorter horizons, compared to models with a constant trend growth rate.

Keywords: forecasting; real GDP; structural breaks; long-term growth rate; oil prices; Russian economy. (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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