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Small-scale nowcasting models of GDP for selected CESEE countries

Author

Listed:
  • Martin Feldkircher

    () (Oesterreichische Nationalbank)

  • Florian Huber

    () (Oesterreichische Nationalbank)

  • Josef Schreiner

    () (Oesterreichische Nationalbank)

  • Julia Woerz

    () (Oesterreichische Nationalbank)

  • Marcel Tirpak

    () (National Bank of Slovakia, Research Department)

  • Peter Toth

    () (National Bank of Slovakia, Research Department)

Abstract

In this article, we describe short-term forecasting models of economic activity for seven countries in Central, Eastern and Southeastern Europe (CESEE) and compare their forecasting performance since the outbreak of the Great Recession. To build these models, we use four variants of bridge equations and a dynamic factor model for each country. Given the differences in availability of monthly indicators across countries and the rather short time period over which these indicators are available, we favor smallscale forecasting models. We selected monthly indicators on the basis of expert judgment, correlation analysis and Bayesian model averaging techniques. While our odels generally outperform a purely time-series based forecast for all CESEE countries, there is no single technique that consistently produces the best out-of-sample forecast. To maximize forecasting accuracy, we therefore recommend selecting a country-specific suite of well-performing models for every CESEE economy.

Suggested Citation

  • Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth, 2015. "Small-scale nowcasting models of GDP for selected CESEE countries," Working and Discussion Papers WP 4/2015, Research Department, National Bank of Slovakia.
  • Handle: RePEc:svk:wpaper:1033
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Nowcasting; bridge equations; dynamic factor models; Bayesian model averaging; Central-; Eastern- and South-Eastern Europe;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • 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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