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Nowcasting GDP of Bosnia and Herzegovina: A Comparison of Forecast Accuracy Models

Author

Listed:
  • Abdić Ademir

    (PhD Assistant Professor, School of Economics and Business, University of Sarajevo)

  • Resić Emina

    (PhD Professor School of Economics and Business, University of Sarajevo)

  • Abdić Adem

    (PhD Assistant Professor School of Economics and Business, University of Sarajevo)

  • Rovčanin Adnan

    (PhD, Professor, School of Economics and Business, University of Sarajevo)

Abstract

The paper explores the possibilities of creating an econometric model for making short-term forecasts of the Gross Domestic Product of Bosnia and Herzegovina (GDP of B&H). Its aim is to determine the most representative and most efficient model for forecasting the quarterly GDP of B&H. This is the first paper that simultaneously compares ARIMA models, bridge models and factor models in three different time periods. All variables are available for the period of 2006q1-2016q4. The final choice of the model for forecasting the quarterly GDP of B&H was selected on the basis of a comparative analysis of the predictive efficiency of the analysed models. Based on the obtained results, the most efficient model for forecasting quarterly GDP of B&H is the bridge model, which includes four variables as regressor: Retail sale of other goods, Total loans, Manufacturing and Manufacture of food products.

Suggested Citation

  • Abdić Ademir & Resić Emina & Abdić Adem & Rovčanin Adnan, 2020. "Nowcasting GDP of Bosnia and Herzegovina: A Comparison of Forecast Accuracy Models," South East European Journal of Economics and Business, Sciendo, vol. 15(2), pages 1-14, December.
    • Handle: RePEc:vrs:seejeb:v:15:y:2020:i:2:p:1-14:n:1
    DOI: 10.2478/jeb-2020-0011
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    quarterly GDP; forecasting models; unbiased estimator; forecast accuracy;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • G3 - Financial Economics - - Corporate Finance and Governance
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods

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