Latvijas IKP prognozēšana ar dinamiskā faktoru modeļa palīdzību
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Latvijas Universitāte
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Abstract
Diplomdarbs tiek veltīts Latvijas IKP rindas prognozēšanai ar dinamiskā faktoru modeļa palīdzību. Izmantojot šo metodi no makroekonomisko mainīgo kopas tika izdalīti nekorelēti kopīgie faktori. IKP rinda tika prognozēta ar autoregresīvā modeļa ar sadalītiem lagiem (ADL) palīdzību, kurā mainīgo vietā tika izmantoti iepriekš izdalītie kopīgie faktori. Prognozes rezultāti tika salīdzināti ar rezultātiem, kuri tika iegūti ar viendimensijas ARIMA modeļa, bez skaidrojošiem mainīgiem, palīdzību. Diplomdarbā nepieciešamā analīze tika veikta, izmantojot statistisko pakešu datorprogrammas kā SPSS 11.5, Eviews 5 un Flash 2.1.
The work is dedicated to forecast GDP series of Latvia with help of the dynamic factor analysis. Uncorrelated common factors were extracted from the set of macroeconomics variables. GDP series was forecasted with the autoregressive distributed lags (ADL) model help, using previously obtained common factors. The forecast are compared with the results, which were obtained from univariate ARIMA model without explanatory variables. The work was done with the help of the following computer programs: SPSS 11.5, Eviews 5 and Flash 2.1.
The work is dedicated to forecast GDP series of Latvia with help of the dynamic factor analysis. Uncorrelated common factors were extracted from the set of macroeconomics variables. GDP series was forecasted with the autoregressive distributed lags (ADL) model help, using previously obtained common factors. The forecast are compared with the results, which were obtained from univariate ARIMA model without explanatory variables. The work was done with the help of the following computer programs: SPSS 11.5, Eviews 5 and Flash 2.1.