Počet záznamů: 1

Short-term forecasting of Czech quarterly GDP using monthly indicators

  1. 1.
    0370116 - NHU-C 2012 RIV CZ eng J - Článek v odborném periodiku
    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
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: GDP forecasting * bridge models * principal components
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 0.346, rok: 2011
    http://journal.fsv.cuni.cz/storage/1235_toth.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0204011