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Comparison of macroeconomic indicators nowcasting methods: Russian GDP case

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  • Stankevich, Ivan

    (National Research University Higher School of Economics (NRU HSE), Moscow, Russian Federation;)

Abstract

The paper compares the nowcasting quality of a range of models of Russian GDP using high-frequency data. The models compared are MIDAS in different specifications, including models with regularization and dimensionality reduction using principal components and Mixed-Frequency Bayesian VAR with Minnesota prior. Indices corresponding with GDP by production components are used as explanatory variables. Nowcasts of MFBVAR models are shown to have higher accuracy then obtained by any type of MIDAS models on different test time periods. We also analyze dynamics of nowcasting errors of models and calculate monthly estimate of GDP growth rate that can be obtained with MFBVAR models.

Suggested Citation

  • Stankevich, Ivan, 2020. "Comparison of macroeconomic indicators nowcasting methods: Russian GDP case," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 113-127.
    • Handle: RePEc:ris:apltrx:0402
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    References listed on IDEAS

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    Cited by:

    1. Fokin, Nikita, 2021. "The importance of modeling structural breaks in forecasting Russian GDP," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 5-29.
    2. Stankevich, Ivan, 2023. "Application of Markov-Switching MIDAS models to nowcasting of GDP and its components," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 70, pages 122-143.

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    More about this item

    Keywords

    nowcasting; GDP; MIDAS models; mixed frequency models;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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