Template-Type: ReDIF-Paper 1.0
Author-Name: Viktors Ajevskis 
Author-X-Name-First: Viktors
Author-X-Name-Last: Ajevskis
Author-Workplace-Name: Bank of Latvia
Author-Name: Gundars Davidsons
Author-X-Name-First: Gundars
Author-X-Name-Last: Davidsons
Author-Workplace-Name: Bank of Latvia
Title: Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product
Abstract: The study aims at evaluating how useful the application of models using large panels of data in forecasting Latvia's GDP is. Two factor models have been used: the Stock-Watson factor model and the generalised dynamic factor model. The forecast findings by the two models have been compared with the results obtained by the benchmark autoregressive model. The results suggest that compared with simpler autoregressive models both the Stock-Watson factor model and the generalised dynamic factor model ensure forecast improvement, which, however, has not been statistically significant if statistical tests are used.
Creation-Date: 2008-04-29
File-URL: https://www.bank.lv/public_files/images/img_lb/izdevumi/english/citas/wp_2008-2_ajevskis-davidsons.pdf
File-Format: Application/pdf
File-URL: https://www.macroeconomics.lv/sites/default/files/wp_2008-2_ajevskis-davidsons.pdf
File-Format: Application/pdf
Number: 2008/02
Classification-JEL: C32, C33, E53
Keywords: forecasting, factor models, large cross section 
X-File-Ref: https://repec.bank.lv/refs/wpaper200802.txt
Handle: RePEc:ltv:wpaper:200802