Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
Journal: Visnyk of the National Bank of Ukraine
Year: 2017

This article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate the factor-augmented VAR (FAVAR) model. Our system incorporates new data as they are published throughout a quarter to adjust GDP nowcasts. In addition, we research the influence of separate data relea