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DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables

Author

Listed:
  • Anastasia Mogilat

    (Bank of Russia)

  • Oleg Kryzhanovskiy

    (Bank of Russia; Tyumen State University)

  • Zhanna Shuvalova

    (Bank of Russia)

  • Yaroslav Murashov

    (Bank of Russia)

Abstract
DYFARUS is a dynamic factor model used for forecasting GDP. It applies cross-sectoral linkages in the Russian economy using input-output tables. The model is evaluated using an expectation maximisation algorithm and the Kalman filter on Russian and global statistics from January 2011 to December 2022. The model uses quantitative links between economic variables assessed on actual data, which progressively produce forecast values for all sectors reviewed. This study forecasts and evaluates the contributions of each sector to the future GDP path.

Suggested Citation

  • Anastasia Mogilat & Oleg Kryzhanovskiy & Zhanna Shuvalova & Yaroslav Murashov, 2024. "DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables," Russian Journal of Money and Finance, Bank of Russia, vol. 83(2), pages 3-25, June.
    • Handle: RePEc:bkr:journl:v:83:y:2024:i:2:p:3-25
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    GDP; sectoral analysis; dynamic factor model; Kalman filter; input-output tables;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models

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