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GDP Nowcasting: Dynamic Factor Model vs. Official Forecasts
[Наукастинг Ввп: Динамическая Факторная Модель И Официальные Прогнозы]

Author

Listed:
  • Zubarev Andrey

    (Russian Presidential Academy of National Economy and Public Administration)

  • Rybak Konstantin

    (Russian Presidential Academy of National Economy and Public Administration)

Abstract

We propose a dynamic factor model for nowcasting GDP, which becomes available with a significant delay in official statistics. Furthermore, we show that obtained nowcasts outperform those made by the Ministry of Economic Development. The article was prepared in the framework of execution of state order by RANEPA.

Suggested Citation

  • Zubarev Andrey & Rybak Konstantin, 2021. "GDP Nowcasting: Dynamic Factor Model vs. Official Forecasts [Наукастинг Ввп: Динамическая Факторная Модель И Официальные Прогнозы]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 12, pages 34-40, December.
    • Handle: RePEc:gai:recdev:r21131
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    References listed on IDEAS

    as
    1. R. Lomivorotov., 2014. "Impact of External Shocks and Monetary Policy on Russian Economy," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 11.
    2. repec:zbw:bofitp:2015_019 is not listed on IDEAS
    3. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
    4. Porshakov, A. & Ponomarenko, A. & Sinyakov, A., 2016. "Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model," Journal of the New Economic Association, New Economic Association, vol. 30(2), pages 60-76.
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    Cited by:

    1. Margarita Lyakhnova & Yuri Kolenko, 2024. "Nowcasting the Output Gap in Russia Using Enterprise Monitoring Data," Russian Journal of Money and Finance, Bank of Russia, vol. 83(2), pages 26-53, June.
    2. Stankevich, Ivan, 2023. "Application of Markov-Switching MIDAS models to nowcasting of GDP and its components," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 70, pages 122-143.

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    More about this item

    Keywords

    GDP nowcasting; factor model; official forecasts;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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