ESTIMATING AND FORECASTING GDP IN POLAND WITH DYNAMIC FACTOR MODEL
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.044Keywords
Dynamic factor models, principal components analysis, GDPAbstract
Presented paper concerns the dynamic factors models theory and application in the econometric GDP in Poland analyses. DFMs are used for construction of the economic indicators and in forecasting. They are applied in macroeconomics analyses, mainly in regard to the monetary policy and international business cycles. In the article we compare forecast accuracy of dynamic factor models with the forecast accuracy of two competitive models: univariate autoregressive model and symptomatic model. We have used 41 quarterly time series from the Polish economy. The results are encouraging. The dynamic factor model outperforms other models. The best fitted to empirical data was model with 3 factors.
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