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Сравнительный анализ прогнозных моделей российского ВВП в условиях наличия структурных сдвигов

Comparative analysis of the forecasting models for Russia’s GDP under the structural breaks

Nikita Fokin and Marina Haritonova

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we compare two types of models for forecasting Russia’s GDP under the structural breaks. We consider models that allow breaks in a deterministic trend, in which the dates of structural breaks set exogenously, and more flexible class of models – with a stochastic trend. We show that models with a stochastic trend demonstrate the best result in GDP growth rates forecasting for a year ahead. For shorter horizons, the best forecasting model is the error correction model with a break in the deterministic trend in the GDP level.

Keywords: forecasting; real GDP; structural breaks; long-term growth rate; oil prices; Russian economy (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-cis and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:103412

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