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Das RWI-Kurzfristprognosemodell

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  • an de Meulen, Philipp

Abstract

Dieser Beitrag stellt das Kurzfristprognosemodell vor, welches das RWI zur Prognose der Veränderungsrate des vierteljährlichen BIP in Deutschland verwendet. Es basiert auf einer großen Zahl monatlicher Indikatoren, die nach Maßgabe ihres zusätzlichen Beitrags zur Erklärung des BIP angeordnet werden. Dieser Rangfolge entsprechend, wird die Auswahl von Indikatoren herangezogen, mit der in der Vergangenheit die beste Prognoseleitung erzielt wurde. Auf Quartalsdaten aggregiert, fließen die ausgewählten Indikatoren in ein System von Brückengleichungen ein, bei denen die Veränderungsrate des saisonbereinigten vierteljährlichen BIP entweder auf einen Indikator, oder auf einen Indikator und verzögerte Werte des BIP, oder auf eine Kombination von zwei Indikatoren regressiert werden. Die geschätzten Koeffizienten werden anschließend für die Prognose des BIP verwendet. Am aktuellen Rand fehlende Monatswerte werden unter Berücksichtigung saisonaler Sondereffekte autoregressiv geschätzt. Das Modell generiert eine große Zahl von Einzelprognosen, deren Mittelwert als BIP-Prognose interpretiert wird. Um deren Robustheit zu überprüfen, wird sie mit anderen Prognosen verglichen, die mit Hilfe komplexerer Gewichtungsschemata abgeleitet werden. Für Deutschland zeigt sich, dass eine Auswahl von nicht mehr als 30 Indikatoren von insgesamt 117 getesteten die Prognosegüte des Modells maximiert.

Suggested Citation

  • an de Meulen, Philipp, 2015. "Das RWI-Kurzfristprognosemodell," RWI Konjunkturberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, vol. 66(2), pages 25-46.
  • Handle: RePEc:zbw:rwikon:113832
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