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

• Authors: Dudek Sławomir , Pachucki Dawid
• Conference: 30th CIRET Conference, Economic Tendency Surveys and the Services Sector
• Languages of publication: EN

Abstracts

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.

Keywords

EN

industrial production; business tendency survey; short-term forecasting; unobserved component model

• Publisher: Szkoła Główna Handlowa w Warszawie
• Journal: Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
• Year: 2011
• Volume: 86:Business Surveys, Business Cycles. Polish Contribution to the 30th CIRET Conference
• Pages: 83-100

Dates

published

2011

Contributors

author

Dudek Sławomir

• Szkoła Główna Handlowa w Warszawie, Instytut Rozwoju Gospodarczego

author

Pachucki Dawid

• Szkoła Główna Handlowa w Warszawie, Instytut Rozwoju Gospodarczego

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Identifiers

ISSN

0866-9503