COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA
Economic activity data is needed quickly to make policy decisions, but this data suffers from publication delays. Gross Domestic Product (GDP) data is released within five weeks after the end of the quarter. An effort that can be made to provide such data is through nowcasting, which is forecasting...
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Universitas Pattimura
2025-01-01
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| Series: | Barekeng |
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| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/15104 |
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| author | Gilbert Alvaro Souisa Reyner M. Leiwakabessy Salma Damayanti Mohammad Zanuar F Terim Shelma M Pelu |
| author_facet | Gilbert Alvaro Souisa Reyner M. Leiwakabessy Salma Damayanti Mohammad Zanuar F Terim Shelma M Pelu |
| author_sort | Gilbert Alvaro Souisa |
| collection | DOAJ |
| description | Economic activity data is needed quickly to make policy decisions, but this data suffers from publication delays. Gross Domestic Product (GDP) data is released within five weeks after the end of the quarter. An effort that can be made to provide such data is through nowcasting, which is forecasting in the current period using variables that have a higher frequency. This study aims at nowcasting GDP growth. The nowcasting method used is the Dynamic Factor Model (DFM) with Two Step (TS) and Quasi Maximum Likelihood (QML) estimation. The nowcasting results show that the DFM-TS model is better than the DFM-QML because it has a larger adjusted R-squared value and has the smallest RMSE value of 1.71035 compared to the DFM-QML value, which has an RMSE value of 1.71598. |
| format | Article |
| id | doaj-art-0931dcdae2b44253a0121fb35eb83847 |
| institution | Kabale University |
| issn | 1978-7227 2615-3017 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | Universitas Pattimura |
| record_format | Article |
| series | Barekeng |
| spelling | doaj-art-0931dcdae2b44253a0121fb35eb838472025-08-20T04:01:48ZengUniversitas PattimuraBarekeng1978-72272615-30172025-01-0119165566410.30598/barekengvol19iss1pp655-66415104COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIAGilbert Alvaro Souisa0Reyner M. Leiwakabessy1Salma Damayanti2Mohammad Zanuar F Terim3Shelma M Pelu4Departement Of Statistics, Faculty of Sciences and Data Analytics, Institut Teknologi Sepuluh Nopember, IndonesiaDepartement Of Statistics, Faculty of Sciences and Data Analytics, Institut Teknologi Sepuluh Nopember, IndonesiaDepartement Of Statistics, Faculty of Sciences and Data Analytics, Institut Teknologi Sepuluh Nopember, IndonesiaDepartement Of Statistics, Faculty of Sciences and Data Analytics, Institut Teknologi Sepuluh Nopember, IndonesiaActuarial Study Program, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, IndonesiaEconomic activity data is needed quickly to make policy decisions, but this data suffers from publication delays. Gross Domestic Product (GDP) data is released within five weeks after the end of the quarter. An effort that can be made to provide such data is through nowcasting, which is forecasting in the current period using variables that have a higher frequency. This study aims at nowcasting GDP growth. The nowcasting method used is the Dynamic Factor Model (DFM) with Two Step (TS) and Quasi Maximum Likelihood (QML) estimation. The nowcasting results show that the DFM-TS model is better than the DFM-QML because it has a larger adjusted R-squared value and has the smallest RMSE value of 1.71035 compared to the DFM-QML value, which has an RMSE value of 1.71598.https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/15104nowcastingdynamic factor modelgross domestic product |
| spellingShingle | Gilbert Alvaro Souisa Reyner M. Leiwakabessy Salma Damayanti Mohammad Zanuar F Terim Shelma M Pelu COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA Barekeng nowcasting dynamic factor model gross domestic product |
| title | COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA |
| title_full | COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA |
| title_fullStr | COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA |
| title_full_unstemmed | COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA |
| title_short | COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA |
| title_sort | comparative analysis of two step and quasi maximum likelihood estimation in the dynamic factor model for nowcasting gdp growth in indonesia |
| topic | nowcasting dynamic factor model gross domestic product |
| url | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/15104 |
| work_keys_str_mv | AT gilbertalvarosouisa comparativeanalysisoftwostepandquasimaximumlikelihoodestimationinthedynamicfactormodelfornowcastinggdpgrowthinindonesia AT reynermleiwakabessy comparativeanalysisoftwostepandquasimaximumlikelihoodestimationinthedynamicfactormodelfornowcastinggdpgrowthinindonesia AT salmadamayanti comparativeanalysisoftwostepandquasimaximumlikelihoodestimationinthedynamicfactormodelfornowcastinggdpgrowthinindonesia AT mohammadzanuarfterim comparativeanalysisoftwostepandquasimaximumlikelihoodestimationinthedynamicfactormodelfornowcastinggdpgrowthinindonesia AT shelmampelu comparativeanalysisoftwostepandquasimaximumlikelihoodestimationinthedynamicfactormodelfornowcastinggdpgrowthinindonesia |