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Dynamic Econometric Models

Estimating and Forecasting GDP in Poland with Dynamic Factor Model
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Estimating and Forecasting GDP in Poland with Dynamic Factor Model

Authors

  • Jarosław Krajewski Nicolaus Copernicus University in Toruń

DOI:

https://doi.org/10.12775/DEM.2009.014

Keywords

Dynamic factor models, principal components analysis, GDP

Abstract

Presented paper concerns the dynamic factor models theory and application in the econometric analysis of GDP in Poland. DFMs are used for construction of the economic indicators and in forecasting, in analyses of the monetary policy and international business cycles. In the article we compare the forecast accuracy of DFMs with the forecast accuracy of 2 competitive models: AR model and symptomatic model. We have used 41 quarterly time series from the Polish economy. The results are encouraging. The DFM outperforms other models. The best fitted to empirical data was model with 3 factors.

References

Bai, J., Ng, S. (2002), Determining the Number of Factors in Approximate Factor Models, Econometrica, 70, 191–221.

Geweke, J. (1977), The Dynamic Factor Analysis of Economic Time Series, [in:] Aigner D. J., Goldberger A. S. (ed.), Latent Variables in Socio–Economic Models, Amsterdam, North Holland.

Greene, W. H. (2003), Econometric Analysis, Pearson Education, New Jersey.

Kotłowski, J. (2008), Forecasting Inflation With Dynamic Factor Model – the Case of Poland, Working Papers, 2-08, SGH, Warszawa.

Marcellino, M., Stock, J. H., Watson, M. W. (2001), Macroeconomic Forecasting in the EuroArea: Country Specific versus Area–Wide Information, Working Paper, 201, Innocenzo Gasparini Institute for Economic Research.

Sargent, T., Sims, C. (1977), Business Cycle Modelling Without Pretending to Have Too Much A-Priori Economic Theory, in Sims C. (ed.), New Methods in Business Cycle Research, Minneapolis, Federal Reserve Bank of Minneapolis.

Sims, C. A. (1980), Macroeconomics and Reality, Econometrica, 48, 1–48. DOI: http://dx.doi.org/10.2307/1912017

Stock J., Watson, M. W. (1998), Diffusion Indexes, Working Paper, 6702, National Bureau of Economic Research.

Dynamic Econometric Models

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Published

2009-07-18

How to Cite

1.
KRAJEWSKI, Jarosław. Estimating and Forecasting GDP in Poland with Dynamic Factor Model. Dynamic Econometric Models. Online. 18 July 2009. Vol. 9, pp. 139-146. [Accessed 7 July 2025]. DOI 10.12775/DEM.2009.014.
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Issue

Vol. 9 (2009)

Section

Articles

License

The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).

To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the License Agreement with Nicolaus Copernicus University.

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