Nowcasting of Russian GDP growth

Abstract

Statistical agencies release their preliminary estimates of quarterly GDP growth with a publication delay that ranges from four to eight weeks. Given this lack of timeliness, nowcasting methods have been developed to produce early estimates of GDP growth during the ongoing quarter. As a practical illustration of these methods, I apply several small-scale nowcasting models, including a dynamic factor model, to produce estimates of Russian GDP growth for the first quarter of 2016. I then compare the nowcasting performance of the dynamic factor model against naïve AR- and ADLmodels using pseudo out-of-sample forecasting errors. The results indicate Russia’s GDP contraction slowed in the first quarter of 2016. The dynamic factor model outperforms the naïve models,displaying better nowcasting prediction accuracy for Russian GDP.