The Forecasting of Macroeconomic Indicators in an Export-oriented Country

Student: Liutikova Anastasiia

Supervisor: Oxana A. Malakhovskaya

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

This paper investigates the building of efficient forecast of GDP using the Mixed Data Sampling (MIDAS) framework. GDP was chosen as the macroeconomic factor representing the national welfare. And the MIDAS model was chosen because of various factors which are sampled as time series with different frequencies and the main idea is to accumulate all of them in one regression model. The project involves the period from 2003Q1 to 2018Q4 and takes advantages of daily and monthly data. In order to understand whether the methods used in achieving our main goal are reliable we will also make 3-months, 6-months, 9-months and 12-months ahead horizons for all selected periods of economic activity in Russia according to two methods: "rowling-window" and "nowcasting". The results may differ from the basic work papers because of diversity of foreign and Russian data.

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