结构性断裂模型在预测俄罗斯GDP中的重要性

Q3 Economics, Econometrics and Finance Applied Econometrics Pub Date : 2021-01-01 DOI:10.22394/1993-7601-2021-63-5-29

N. Fokin, Ranepa

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引用次数: 2

摘要

本文考虑了两种预测结构性断裂下经季节调整的俄罗斯GDP的模型。考虑了允许确定性趋势中断的模型，其中结构中断的日期是外生设置的，以及具有随机趋势的更灵活的模型类别。研究表明，与具有恒定趋势增长率的模型相比，在确定性趋势中建立结构断裂模型或添加随机趋势显著提高了提前3-4步预测的质量，有时甚至在更短的范围内。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The importance of modeling structural breaks in forecasting Russian GDP

The paper considers two types of models for forecasting seasonally adjusted Russian GDP under the structural breaks. Models that allow breaks in a deterministic trend, in which the dates of structural breaks are set exogenously, and more flexible class of models – with a stochastic trend are considered. It is shown that modeling a structural break in a deterministic trend or adding a stochastic trend significantly improves the quality of 3–4 steps ahead forecasts, and sometimes even on shorter horizons, compared to models with a constant trend growth rate.

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.