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Short-Term GDP Forecasting Using Bridge Models: a Case for Chile

  • Marcus Cobb
  • Gonzalo Echavarría
  • Pablo Filippi
  • Macarena García
  • Carolina Godoy
  • Wildo González
  • Carlos Medel
  • Marcela Urrutia

The aim of this document is to provide a forecasting tool that facilitates understanding economic developments in a timely manner. This is pursued through the Bridge Model approach by using it to relate a large set of monthly indicators to Chilean GDP and its main components. The outcome is a set of simple equations that characterize reasonably well total GDP and the feasible supply- and demand-side components based on a small set of relevant indicators. The selected equations generally provide better short-term forecasts than simple autoregressive models. However, if needed, the equation selection methodology is straightforward enough to update the equations easily making it an attractive tool for real-time forecasting.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 626.

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Date of creation: May 2011
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Handle: RePEc:chb:bcchwp:626
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