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Uchenye Zapiski Kazanskogo Universiteta. Seriya Fiziko-Matematicheskie Nauki, 2018, Volume 160, Book 2, Pages 350–356 (Mi uzku1460)  

Improving the accuracy of macroeconomic time series forecast by incorporating functional dependencies between them

N. A. Moiseev

Plekhanov Russian University of Economics, Moscow, 117997 Russia
References:
Abstract: A parametric approach to forecasting vectors of macroeconomic indicators, which incorporates functional dependencies between them, has been considered in this paper. As it is possible to functionally bind together most indicators, we believe that this information can help to substantially decrease their forecast error. In this paper, we have proposed to readjust the traditionally obtained forecasts given the known analytical form of the relationship between the considered indicators by the maximum likelihood method. We have also derived a standard form of the readjusted probability density function for each analyzed indicator by normalizing its marginal distribution. In order to prove the efficiency of the proposed method, an empirical out-of-sample investigation has been carried out regarding a simple example for such macroeconomic indicators as gross domestic product (GDP), GDP deflator, and GDP in constant prices.
Keywords: regression analysis, GDP, inflation, monetary base, maximum likelihood method, probability density function, functional dependencies of macroeconomic indicators.
Funding agency Grant number
Russian Foundation for Basic Research 18-310-20008
The study was supported by the Russian Foundation for Basic Research (project no. 18-310-20008).
Received: 08.12.2017
Bibliographic databases:
Document Type: Article
UDC: 519.248
Language: English
Citation: N. A. Moiseev, “Improving the accuracy of macroeconomic time series forecast by incorporating functional dependencies between them”, Uchenye Zapiski Kazanskogo Universiteta. Seriya Fiziko-Matematicheskie Nauki, 160, no. 2, Kazan University, Kazan, 2018, 350–356
Citation in format AMSBIB
\Bibitem{Moi18}
\by N.~A.~Moiseev
\paper Improving the accuracy of macroeconomic time series forecast by incorporating functional dependencies between them
\serial Uchenye Zapiski Kazanskogo Universiteta. Seriya Fiziko-Matematicheskie Nauki
\yr 2018
\vol 160
\issue 2
\pages 350--356
\publ Kazan University
\publaddr Kazan
\mathnet{http://mi.mathnet.ru/uzku1460}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000460032400016}
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