Short-term Forecasting Methods Based on the LEI Approach: The Case of the Czech Republic
AbstractThis paper is aimed at developing short-term forecasting methods based on the LEI (leading economic indicators) approach. We use a set of econometric models (PCA, SURE) that provide estimates of GDP growth for the Czech economy for a co-incident quarter and a few quarters ahead. These models exploit monthly or quarterly indicators such as business surveys, financial or labour market indicators, monetary aggregates, interest rates and spreads, etc. that become available before the release of data on GDP growth itself. Our tests show that the LEIs provide relatively accurate forecasts of GDP fluctuations in the short run.
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Bibliographic InfoPaper provided by Czech National Bank, Research Department in its series Research and Policy Notes with number 2007/01.
Date of creation: Dec 2007
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Leading indicators; principal component analysis; seemingly unrelated regression estimate.;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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