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Forecasting economic growth for Estonia : application of common factor methodologies

Listed author(s):
  • Christian Schulz

    ()

In this paper, the application of two different unobserved factor models to a data set from Estonia is presented. The small-scale state-space model used by Stock and Watson (1991) and the large-scale static principal components model used by Stock and Watson (2002) are employed to derive common factors. Subsequently, using these common factors, forecasts of real economic growth for Estonia are performed and evaluated against benchmark models for different estimation and forecasting periods. Results show that both methods show improvements over the benchmark model, but not for the all the forecasting periods

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Paper provided by Bank of Estonia in its series Bank of Estonia Working Papers with number 2007-09.

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Date of creation: 04 Sep 2007
Date of revision: 04 Sep 2007
Handle: RePEc:eea:boewps:wp2007-09
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