scholarly journals Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

2013 ◽  
Author(s):  
Massimiliano Giuseppe Marcellino ◽  
Mario Porqueddu ◽  
Fabrizio Venditti
Keyword(s):  
Stochastic Volatility ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Short Term ◽  
Mixed Frequency

scholarly journals DYNAMIC FACTOR MODEL OF GDP SHORT-TERM FORECASTING OF UKRAINE

2018 ◽  
pp. 17-22
Author(s):  
Larysa Zomchak ◽  
Anastasiia Rakova
Keyword(s):  
Economic Activity ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Short Term ◽  
Monthly Basis ◽  
Econometric Methods ◽  
Real Gdp ◽  
Short Term Forecasting ◽  
Main Components

Introduction. The short-term (quarterly) forecast of GDP is based on factor variables of the financial and non-financial sectors of the economy, indicators of foreign economic activity, indicators of economic activity, etc. Although the statistics of these indicators are available on a monthly basis, but its disclosure comes with a certain lag, and values over time can be reviewed and clarified. These data can be used to estimate the quarterly value of GDP before the official information about its empirical volume is published. Purpose. The article aims to forecast the quarterly real GDP of Ukraine by means of a dynamic factor model on the basis of the quarterly and monthly values of the main social and economic macro indicators of Ukraine. The method (methodology). To achieve the task, we have used the econometric methods of macroeconomic modelling, namely the dynamic factor model, the Kalman filter, the method of the main components, etc. Results. The forecast of GDP of Ukraine for the first two quarters of 2018 has been obtained with the help of a dynamic factor model. On the basis of comparison of the obtained forecast with the empirical values of Ukraine's GDP for the similar period, which is published by the Ministry of Finance of Ukraine, it has been proven the adequacy of the model and the high quality of the results has been concluded.

scholarly journals Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model

2016 ◽  
Vol 30 (2) ◽  
pp. 60-76 ◽  
Author(s):  
A.S. Porshakov ◽  
◽  
A.A. Ponomarenko ◽  
A.A. Sinyakov ◽  
◽  
...  
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Short Term ◽  
Short Term Forecasting
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