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Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP
[A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]

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  • Tóth, Peter

Abstract

In this article we estimate a small dynamic factor model (DFM) for the short-term forecasting of Slovak GDP. The model predicts the developments of real activity in the next two quarters on the basis of monthly data, which are published earlier than GDP. The regular release of various monthly indicators allows about a weekly update of the short-term outlook. Our DFM contains six monthly indicators, which are retail sales, sales in industry and construction, employment in selected industries, health care contributions of employers, export and the PMI for the eurozone. These approximate the production, expenditure and income side of GDP. The forecast accuracy of the factor model prevails over simple approaches not relying on monthly data, such as the random walk and the autoregressive models of the GDP series.

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  • Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]," MPRA Paper 63713, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:63713
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    1. Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]," MPRA Paper 63713, University Library of Munich, Germany.
    2. Aleksandra Riedl & Julia Wörz, 2018. "A simple approach to nowcasting GDP growth in CESEE economies," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/18, pages 56-74.

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    More about this item

    Keywords

    dynamic factor model; GDP; short-term forecasting;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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