Different indexes for forecasting economic activity in Russia (in Russian)
AbstractThis paper considers different ways of computing indexes for forecasting economic activity in Russia. The first is the methodology used by the Russian Development Centre based on the concept of "growth cycles". The second combines the dynamic principal components and dynamic factor analyses. The third approach is the NBER methodology based of diffusion indexes constructed using a dynamic factor model. This paper is an attempt to reveal strengths and weaknesses of the three methods in application to Russian data and to develop a better methodology for forecasting economic activity in Russia.
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Bibliographic InfoArticle provided by Quantile in its journal Quantile.
Volume (Year): (2008)
Issue (Month): 5 (September)
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Web page: http://quantile.ru/
index of economic activity; leading and coincident indicators; dynamic principal components; factor model; Russia;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- O11 - Economic Development, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
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