Research Article
Nowcasting Indonesia's GDP Growth Using Dynamic Factor Model: Are Fiscal Data Useful?
@INPROCEEDINGS{10.4108/eai.2-8-2019.2290478, author={Ardiana Alifatussaadah and Anindya Diva Primariesty and Agus Mohamad Soleh and Andriansyah Andriansyah}, title={Nowcasting Indonesia's GDP Growth Using Dynamic Factor Model: Are Fiscal Data Useful?}, proceedings={Proceedings of the 1st International Conference on Statistics and Analytics, ICSA 2019, 2-3 August 2019, Bogor, Indonesia}, publisher={EAI}, proceedings_a={ICSA}, year={2020}, month={1}, keywords={dynamic factor model indonesian gdp nowcasting}, doi={10.4108/eai.2-8-2019.2290478} }- Ardiana Alifatussaadah
Anindya Diva Primariesty
Agus Mohamad Soleh
Andriansyah Andriansyah
Year: 2020
Nowcasting Indonesia's GDP Growth Using Dynamic Factor Model: Are Fiscal Data Useful?
ICSA
EAI
DOI: 10.4108/eai.2-8-2019.2290478
Abstract
Since introduced by Giannone et. al., GDP nowcasting models have been used in many countries, including Indonesia. Variables to select usually include housing and construction, income, manufacturing, labor, surveys, international trade, retails and consumptions. Interestingly, fiscal variables are excluded even though government expenditure is an integral part of the basic GDP identity. By employing the previous journal of quarter-to-quarter real GDP growth nowcasting technique by Bok et. al., this paper is aimed at testing the usefulness of inclusion of fiscal variables, in addition to 61 non-fiscal variables, in nowcasting Indonesia GDP. The results show, even though based on the fact that fiscal data have low correlation coefficients to GDP, the inclusion of fiscal data may help to produce a better early estimate of GDP growth based on a better RMSEP value.