Federal finance and statistics / Central Bank of Nigeria

Forecasting Real GDP Growth Using a Dynamic Factor Augmented Mixed Data Sampling (FAMIDAS) REGRESSION

This study used the FAMIDAS regression method to predict Nigeria's real GDP growth and its components (oil and non-oil GDP). It employed the PC approach to handle the dimensionality of explanatory variables, reducing them into two groups of monthly and quarterly PCs. These groups were integrated into the MIDAS regression framework to generate nowcasts and forecasts for real GDP growth, oil and non-oil GDP. The ARIMA technique was applied to each PC to generate out-of-sample forecasts for endogen | Keywords: GDP, FAMIDAS, FAVAR, ARIMA,