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Повышение точности прогнозирования интегральных показателей на основе объединения прогнозов // Improving the Prediction Accuracy of the Integral Indicators by the Means of Combining Forecasts

Author

Listed:
  • Alexander Frenkel A.

    (Institute of Economics RAS)

  • Natalia Volkova N.

    (Institute of Economics RAS)

  • Anton Surkov A.

    (Institute of Economics RAS)

  • Александр Френкель Адольфович

    (Институт Экономики РАН)

  • Наталия Волкова Николаевна

    (Институт Экономики РАН)

  • Антон Сурков Александрович

    (Институт Экономики РАН)

Abstract

Topic. If we need to predict the future economic development of the state it is necessary to build indicators that could be detectors of economic development. These detectors are integral indices that can describe the overall state of the economy of the state and can warn of turning points in the development in the future. The paper discusses methods of constructing such integral indices and compares them with the rates of industrial production. We provide analysis how to improve the prediction accuracy of the integrated indices through the use of methods of combining forecasts. Combining forecasts proved to be in practice an adequate method of improving the accuracy of forecasting in conditions of uncertainty of choice between individual forecasts.Purpose. The purpose of this work was the construction of three integrated indices describing the general state of the Russian economy: leading, coincident, and lagging, their statistical analysis, calculation of forecast values of the considered indices and the estimation of the influence on prediction accuracy of combining forecasts.Methodology. The study used statistical methods to construct the integrated indices as well as statistical methods of forecasting and the technique of building of combining forecasts.Results. The results of our researches have become integral indices for the Russian economy in the period from 1999 to 2016, and their statistical comparison with observed rates of industrial production. This created an opportunity for making the forecast of development of Russian economy for the next year and comparing the forecast results with the actual data for the first four months of 2017. There are built several prediction models which were combining into the overall forecast. Combining forecasts have improved the prediction accuracy.Conclusions. The result of the work allows concluding that the combining forecasts substantially improves forecasting accuracy of integrated indices and allows using the technique of amalgamated forecasts to predict “turning points” in economic development. Предмет. В условиях необходимости предсказания будущего экономического развития государства необходимо построение показателей, которые смогли бы стать индикаторами развития экономики. Такими индикаторами являются интегральные индексы, которые могут описывать общее состояние экономики государства и могут предупредить о поворотных моментах в развитии в будущем. В работе рассматриваются методы построения интегральных индексов и их сравнение с темпами промышленного производства, проводится анализ повышения точности прогнозирования интегральных показателей посредством использования методов объединения прогнозов. Объединение прогнозов зарекомендовало себя на практике как адекватный метод повышения точности прогнозирования в условиях неопределенности выбора между индивидуальными прогнозами.Цель. Целью работы являлось построение трех интегральных индексов, описывающих общее состояние экономики России: лидирующего, совпадающего, запаздывающего, их статистический анализ, а также расчет прогнозных значений рассматриваемых индексов и оценка влияния на точность прогнозирования объединения прогнозов.Методология. В исследовании используются статистические методы построения интегральных индексов, а также статистические методы прогнозирования, методика построения объединенных прогнозов.Результаты. Результатами работы стали интегральные индексы для экономики России во временной промежуток с 1999 по 2016 г. и их статистическое сравнение с темпами промышленного производства. Это позволило сделать прогноз развития экономики России на ближайший год и сравнить результаты прогнозирования с фактическими данными за первые четыре месяца 2017 г. Были построены несколько моделей прогнозирования и произведено их объединение в общий прогноз. Объединение прогнозов позволило улучшить точность прогнозирования.Выводы. По результатам работы можно сделать вывод, что объединение прогнозов существенно повышает точность прогнозирования интегральных показателей и позволяет использовать методику объединения прогнозов для предсказания «поворотных точек» в экономическом развитии.

Suggested Citation

  • Alexander Frenkel A. & Natalia Volkova N. & Anton Surkov A. & Александр Френкель Адольфович & Наталия Волкова Николаевна & Антон Сурков Александрович, 2017. "Повышение точности прогнозирования интегральных показателей на основе объединения прогнозов // Improving the Prediction Accuracy of the Integral Indicators by the Means of Combining Forecasts," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 21(5), pages 118-127.
  • Handle: RePEc:scn:financ:y:2017:i:5:p:118-127
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    References listed on IDEAS

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    1. Kenneth Wallis, 2011. "Combining forecasts - forty years later," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 33-41.
    2. Capistrán, Carlos & Timmermann, Allan, 2009. "Forecast Combination With Entry and Exit of Experts," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 428-440.
    3. Sunil Gupta & Peter C. Wilton, 1987. "Combination of Forecasts: An Extension," Management Science, INFORMS, vol. 33(3), pages 356-372, March.
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