Economics at your fingertips  

Small-scale nowcasting models of GDP for selected CESEE countries

Martin Feldkircher, Florian Huber, Josef Schreiner (), Julia Woerz (), Marcel Tirpak () and Peter Tóth ()
Additional contact information
Josef Schreiner: Oesterreichische Nationalbank
Marcel Tirpak: National Bank of Slovakia, Research Department

No WP 4/2015, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: In this article, we describe short-term forecasting models of economic activity for seven countries in Central, Eastern and Southeastern Europe (CESEE) and compare their forecasting performance since the outbreak of the Great Recession. To build these models, we use four variants of bridge equations and a dynamic factor model for each country. Given the differences in availability of monthly indicators across countries and the rather short time period over which these indicators are available, we favor smallscale forecasting models. We selected monthly indicators on the basis of expert judgment, correlation analysis and Bayesian model averaging techniques. While our odels generally outperform a purely time-series based forecast for all CESEE countries, there is no single technique that consistently produces the best out-of-sample forecast. To maximize forecasting accuracy, we therefore recommend selecting a country-specific suite of well-performing models for every CESEE economy.

Keywords: Nowcasting; bridge equations; dynamic factor models; Bayesian model averaging; Central-; Eastern- and South-Eastern Europe (search for similar items in EconPapers)
JEL-codes: C52 C53 E37 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2015-06
New Economics Papers: this item is included in nep-eec, nep-for, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) ... et_al_Nowcasting.pdf (application/pdf)

Related works:
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:

Access Statistics for this paper

More papers in Working and Discussion Papers from Research Department, National Bank of Slovakia Contact information at EDIRC.
Bibliographic data for series maintained by ().

Page updated 2022-01-20
Handle: RePEc:svk:wpaper:1033