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Different indexes for forecasting economic activity in Russia (in Russian)


  • Oleg Demidov

    (Droege & Comp., Moscow, Russia)


This 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.

Suggested Citation

  • Oleg Demidov, 2008. "Different indexes for forecasting economic activity in Russia (in Russian)," Quantile, Quantile, issue 5, pages 83-102, September.
  • Handle: RePEc:qnt:quantl:y:2008:i:5:p:83-102

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    Cited by:

    1. Anna Pestova, 2015. "Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia," HSE Working papers WP BRP 94/EC/2015, National Research University Higher School of Economics.

    More about this item


    index of economic activity; leading and coincident indicators; dynamic principal components; factor model; Russia;

    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; State Space Models
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development


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