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Nowcasting Russian GDP using forecast combination approach
International Economics Pub Date : 2021-07-30 , DOI: 10.1016/j.inteco.2021.07.006
Michael Zhemkov 1
Affiliation  

This paper presents a forecast combination approach for short-term assessment of economic growth in Russia. Our method significantly expands the existing domestic academic literature and embraces most advanced nowcasting techniques. The key feature of our approach is forecasting the growth rates of components GDP by expenditure using scenario indicators and a huge set of high-frequency predictors. The total number of combined models is nearly 500. Comparing our approach with popular benchmark models over the period from January 2003 to December 2020, we conclude that our method has the highest accuracy of short-term GDP forecasting. The findings of this research may be useful for the development of monetary and communication policy in Russia.



中文翻译:

使用预测组合方法临近预测俄罗斯 GDP

本文提出了一种对俄罗斯经济增长进行短期评估的预测组合方法。我们的方法显着扩展了现有的国内学术文献,并采用了最先进的临近预报技术。我们方法的主要特点是使用情景指标和大量高频预测变量来预测按支出划分的 GDP 组成部分的增长率。组合模型的总数接近 500。将我们的方法与 2003 年 1 月至 2020 年 12 月期间流行的基准模型进行比较,我们得出结论,我们的方法对短期 GDP 预测具有最高的准确性。这项研究的结果可能有助于俄罗斯货币和通讯政策的发展。

更新日期:2021-08-17
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