Modelling and forecasting GDP using factor model: An empirical study from Bosnia and Herzegovina
Abdić Ademir (),
Resić Emina () and
Abdić Adem ()
Additional contact information
Abdić Ademir: School of Economics and Business, University of Sarajevo, Bosnia and Herzegovina
Resić Emina: School of Economics and Business, University of Sarajevo, Bosnia and Herzegovina
Abdić Adem: School of Economics and Business, University of Sarajevo, Bosnia and Herzegovina
Croatian Review of Economic, Business and Social Statistics, 2020, vol. 6, issue 1, 10-26
In the most developed countries the first estimations of Gross Domestic Product (GDP) are available 30 days after the end of the reference quarter. In this paper, possibilities of creating an econometric model for making short-term forecasts of GDP in B&H have been explored. The database consists of more than 100 daily, monthly and quarterly time series for the period 2006q1-2016q4. The aim of this study was to estimate and validate different factor models. Due to the length limit of the series, the factor analysis included 12 time series which had a correlation coefficient with a quarterly GDP at the absolute value greater than 0.8. The principal component analysis (PCA) and the orthogonal varimax rotation of the initial solution were applied. Three principal components are extracted from the set of the series, thus together accounting for 73.34% of the total variability of the given set of series. The final choice of the model for forecasting quarterly B&H GDP was selected based on a comparative analysis of the predictive efficiency of the analysed models for the in-sample period and for the out-of-sample period. The unbiasedness and efficiency of individual forecasts were tested using the Mincer-Zarnowitz regression, while a comparison of the accuracy of forecast of two models was tested by the Diebold-Mariano test. We have examined the justification of a combination of two forecasts using the Granger-Ramanathan regression. A factor model involving three factors has shown to be the most efficient factor model for forecasting quarterly B&H GDP.
Keywords: efficiency; factor model; Gross Domestic Product of Bosnia and Hercegovina; unbiasedness (search for similar items in EconPapers)
JEL-codes: C4 C83 G3 G32 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:vrs:crebss:v:6:y:2020:i:1:p:10-26:n:2
Access Statistics for this article
Croatian Review of Economic, Business and Social Statistics is currently edited by Dragan Bagić, Ksenija Dumičić and Nataša Erjavec
More articles in Croatian Review of Economic, Business and Social Statistics from Sciendo
Bibliographic data for series maintained by Peter Golla ().