QUARTERLY GDP DATA CORRECTION USING PRINCIPAL COMPONENTS ANALYSIS. THE CASE OF THE ROMANIAN ECONOMY – GDP EXPENDITURES SIDE*

by Klein, Lawrence R.; Roudoi, Andrei; Eskin, Vladimir; Albu, Lucian Liviu; Stanica, Cristian
Published in Romanian Journal of Economic Forecasting, 2004, volume 5 supplement,
5-34

Abstract

The paper estimates a medium-term forecasting model used to generate short-term series of the quarterly GDP. The GDP used was computed using the expenditures decomposition method in accordance with the national accounts, and the data were generated by applying the principal components analysis and econometric techniques. The results of the model for the last two quarters of 2002 were compared with the data published by the Romanian National Institute of Statistics.
(* This paper was prepared for the international workshop within the program Improvement of Economic Policy through Think Tank Partnership”, held in Bucharest, Romania, on October 27-29, 2003, and is part of a grant by the U.S. Agency for International Development for the project “Mechanisms of Long-term Growth in the Economies in Transition (Cases of Russia and Romania)”. The research partners of this project were Global Insight (former DRI-WEFA – USA), the Institute of Economic Forecasting (Romania) and the Center for Macroeconomic Analysis and Short-term Economic Forecasting (Russian Federation). This publication was made possible through support provided by the Moscow Office of the U.S. Agency for International Development, under the terms of Contract No. PCE-I-00-00-00014-00. The options, findings and conclusions or recommendations expressed herein are those of the authors and do not necessarily reflect the views of the U.S. Agency for International Development).

Keywords: principal components analysis, macroeconomic forecasting, GDP decomposition, national accounts
JEL Classification: C32, C53, E27