TY  - JOUR
TI  - Nowcasting of the Components of Russian GDP
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - nowcasting
KW  - Russian GDP
KW  - time series
KW  - mixed frequency models
KW  - MIDAS models
KW  - forecasting
AB  - The paper discusses the problem of nowcasting the current growth rates of Russian GDP and its components using quarterly data. The quality of restricted and unrestricted MIDAS models (models with mixed data), MIDAS model with L1 regularisation and MFBVAR model (Bayesian vector autoregression of mixed frequency) are compared. The results are compared with classical autoregression to justify the need to use nowcasting models for the rapid assessment of macroeconomic indicators. Production indices for various industries and macro indicators characterising Russian GDP and its components were used as explanatory variables. The paper proposes a way to quickly assess the current state of the economy and proposes a nowcasting method based on data only for the first or first two months of the quarter under consideration. As a result, for each dependent variable, the best model for building a nowcast based on the last 12 points is selected based on the criterion of mean absolute error (MAE) and root mean square prediction error (RMSE).
AU  - Natalya Makeeva
AU  - Ivan Stankevich
UR  - https://ej.hse.ru/en/2022-26-4/800824520.html
PY  - 2022
SP  - 598-622
VL  - 26