Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators
Luboš Růžička and
Peter Tóth ()
Working Papers from Czech National Bank
We evaluate the out-of-sample forecasting performance of six competing models at horizons of up to three quarters ahead in a pseudo-real time setup. All the models use information in monthly indicators released ahead of quarterly GDP. We estimate two models – averaged vector autoregressions and bridge equations – relying on just a few monthly indicators. The remaining four models condition the forecast on a large set of monthly series. These models comprise two standard principal components models, a dynamic factor model based on the Kalman smoother and a generalized dynamic factor model. We benchmark our results to the performance of a naïve model and the historical near-term forecasts of the Czech National Bank’s staff. The findings are also compared with a related study conducted by ECB staff (Barhoumi et al., 2008). In the Czech case, standard principal components is the most precise model overall up to three quarters ahead. However, the CNB staff’s historical forecasts were the most accurate one quarter ahead.
Keywords: Bridge models; dynamic factor models; GDP forecasting; principal components; real-time evaluation. (search for similar items in EconPapers)
JEL-codes: C22 C32 C38 C52 C53 E23 E27 (search for similar items in EconPapers)
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Journal Article: Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2010/12
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