DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables

Abstract

DYFARUS is a dynamic factor model used for forecasting GDP. It applies cross-sectoral linkages in the Russian economy using input-output tables. The model is evaluated using an expectation maximisation algorithm and the Kalman filter on Russian and global statistics from January 2011 to December 2022. The model uses quantitative links between economic variables assessed on actual data, which progressively produce forecast values for all sectors reviewed. This study forecasts and evaluates the contributions of each sector to the future GDP path.