Forecasting Czech GDP Using Mixed-Frequency Data Models

Michal Franta, David Havrlant and Marek Rusnák

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: In this paper we use a battery of various mixed-frequency data models to forecast Czech GDP. The models employed are mixed-frequency vector autoregressions, mixed-data sampling models, and the dynamic factor model. Using a dataset of historical vintages of unrevised macroeconomic and financial data, we evaluate the performance of these models over the 2005–2012 period and compare them with the Czech National Bank’s macroeconomic forecasts. The results suggest that for shorter forecasting horizons the accuracy of the dynamic factor model is comparable to the CNB forecasts. At longer horizons, mixed-frequency vector autoregressions are able to perform similarly or slightly better than the CNB forecasts. Furthermore, moving away from point forecasts, we also explore the potential of density forecasts from Bayesian mixed-frequency vector autoregressions.

Keywords: GDP; mixed-frequency data; real-time data; short-term forecasting (search for similar items in EconPapers)
JEL-codes: C53 C82 E52 (search for similar items in EconPapers)
Date: 2014-11
New Economics Papers: this item is included in nep-for, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2014_08.pdf

Related works:
Journal Article: Forecasting Czech GDP Using Mixed-Frequency Data Models (2016)
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:cnb:wpaper:2014/08

Access Statistics for this paper

More papers in Working Papers from Czech National Bank, Research and Statistics Department Contact information at EDIRC.
Bibliographic data for series maintained by Tomas Karhanek ().