Number of the records: 1
Short-term forecasting of Czech quarterly GDP using monthly indicators
- 1.0370116 - NHU-C 2012 RIV CZ eng J - Journal Article
Arnoštová, K. - Havrlant, D. - Růžička, L. - Tóth, Peter
Short-term forecasting of Czech quarterly GDP using monthly indicators.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 61, č. 6 (2011), s. 566-583. ISSN 0015-1920. E-ISSN 0015-1920
Institutional research plan: CEZ:MSM0021620846
Keywords : GDP forecasting * bridge models * principal components
Subject RIV: AH - Economics
Impact factor: 0.346, year: 2011
http://journal.fsv.cuni.cz/storage/1235_toth.pdf
The authors evaluate the out-of-sample forecasting performance of six competing models at horizons of up to three quarters ahead in a pseudo-real time setup. All the models use information in monthly indicators released ahead of quarterly GDP. The authors estimate two models – averaged vector autoregressions and bridge equations – relying on just a few monthly indicators. The remaining four models condition the forecast on a large set of monthly series. These models comprise two standard principal components models, a dynamic factor model based on the Kalman smoother, and a generalized dynamic factor model.
Permanent Link: http://hdl.handle.net/11104/0204011
Number of the records: 1