Improving Short-Term Forecasting of Macedonian GDP: Comparing the Factor Model with the Macroeconomic Structural Equation Model

Dimitar Eftimoski

Journal for Economic Forecasting, 2019, issue 2, 32-53

Abstract: This paper evaluates two different models for short-term forecasting of the Macedonian GDP : (a) the medium-scale static factor model, based on the static principal components analysis, and (b) the small-scale macroeconomic structural equation model. Recursive dynamic pseudo out-of-sample forecasts, based on a panel of quarterly time series, indicate that forecast errors of the factor model are smaller overall in comparison to errors of the structural equation model at all forecast horizons. In line with the existing short-term GDP forecasting practice, our medium-scale factor model (that extracts common factors from a data set of 52 variables) diversifies and strengthens the current macroeconomic forecasting strategy in Macedonia

Keywords: factor model; macroeconomic structural equation model; forecasting and forecasting evaluation; GDP (search for similar items in EconPapers)
JEL-codes: C2 C3 C38 C53 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.ipe.ro/rjef/rjef2_19/rjef2_2019p32-53.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2019:i:2:p:32-53

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman (rjef@ipe.ro this e-mail address is bad, please contact repec@repec.org).