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Nowcasting GDP of Bosnia and Herzegovina: A Comparison of Forecast Accuracy Models

Abdić Ademir (), Resić Emina (), Abdić Adem () and Rovčanin Adnan ()
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Abdić Ademir: PhD Assistant Professor, School of Economics and Business, University of Sarajevo
Resić Emina: PhD Professor School of Economics and Business, University of Sarajevo
Abdić Adem: PhD Assistant Professor School of Economics and Business, University of Sarajevo
Rovčanin Adnan: PhD, Professor, School of Economics and Business, University of Sarajevo

South East European Journal of Economics and Business, 2020, vol. 15, issue 2, 1-14

Abstract: The paper explores the possibilities of creating an econometric model for making short-term forecasts of the Gross Domestic Product of Bosnia and Herzegovina (GDP of B&H). Its aim is to determine the most representative and most efficient model for forecasting the quarterly GDP of B&H. This is the first paper that simultaneously compares ARIMA models, bridge models and factor models in three different time periods. All variables are available for the period of 2006q1-2016q4. The final choice of the model for forecasting the quarterly GDP of B&H was selected on the basis of a comparative analysis of the predictive efficiency of the analysed models. Based on the obtained results, the most efficient model for forecasting quarterly GDP of B&H is the bridge model, which includes four variables as regressor: Retail sale of other goods, Total loans, Manufacturing and Manufacture of food products.

Keywords: quarterly GDP; forecasting models; unbiased estimator; forecast accuracy (search for similar items in EconPapers)
JEL-codes: C4 C83 E17 G3 G32 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:seejeb:v:15:y:2020:i:2:p:1-14:n:1

DOI: 10.2478/jeb-2020-0011

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