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Short-term forecasting of Czech quarterly GDP using monthly indicators
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SYSNO ASEP 0370116 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Short-term forecasting of Czech quarterly GDP using monthly indicators Author(s) Arnoštová, K. (CZ)
Havrlant, D. (CZ)
Růžička, L. (CZ)
Tóth, Peter (NHU-C)Source Title Finance a úvěr-Czech Journal of Economics and Finance. - : Univerzita Karlova v Praze - ISSN 0015-1920
Roč. 61, č. 6 (2011), s. 566-583Number of pages 18 s. Language eng - English Country CZ - Czech Republic Keywords GDP forecasting ; bridge models ; principal components Subject RIV AH - Economics CEZ MSM0021620846 - NHU-C UT WOS 000298621200003 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2012 Electronic address http://journal.fsv.cuni.cz/storage/1235_toth.pdf
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