Unobserved Component Model with Observed Cycle Use of BTS Data for Short-Term Forecasting of Industrial Production

• Autorzy: Sławomir Dudek , Dawid Pachucki
• Języki publikacji: EN

Abstrakty

EN

In the paper we are checking the explanatory power of business tendency survey data (BTS) in short-term forecasts of industrial production within the framework of the unobserved component model (UCM). It is assumed that the "unobserved cyclical component" is common for reference quantitative variable and qualitative variable. In that sense the cyclical fluctuation of industrial production can be approximated by the fluctuations of BTS indicators. We call such a specification of structural time series model the "Unobserved component model with observed cycle" (UCM-OC). To estimate the system we are using the Kalman filter technique. Then we compare the model recursive one-period ahead forecasts to the historical path of the reference series to check its out-of-sample data fit. The forecasting properties are also evaluated against alternative models, i.e. "pure" UCM and ARIMA model. The analysis was performed for Poland and selected European Union countries. (original abstract)

Słowa kluczowe

EN

Industrial production; Forecasting; Autoregressive integrated moving average (ARIMA) models; Business surveys

PL

Produkcja przemysłowa; Prognozowanie; Modele ARIMA; Badania koniunktury

• Czasopismo: Prace i Materiały Instytutu Rozwoju Gospodarczego / Szkoła Główna Handlowa
• Rocznik: 2011
• Numer: nr 86 Business Surveys, Business Cycles. Polish Contribution to the 30th CIRET Conference
• Strony: 83--100

Twórcy

autor

Sławomir Dudek

• Warsaw School of Economics, Poland

autor

Dawid Pachucki

Bibliografia

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