COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA

Souisa, Gilbert Alvaro; Leiwakabessy, Reyner M.; Damayanti, Salma; Terim, Mohammad Zanuar F; Pelu, Shelma M

doi:10.30598/barekengvol19iss1pp655-664

Open access Jurnal SINTA 3

COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 19 No. 1 (2025) · pp. 655–664

DOI: 10.30598/barekengvol19iss1pp655-664
ISSN: 2615-3017, 1978-7227
Published: 2025-01-13
Publisher: PATTIMURA UNIVERSITY
Language: eng
License: creativecommons.org/licenses/by-sa/4.0

Abstract

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.

Collaboration network of the authors

13 authors · 31 co-authorship links

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Co-author	Organisation	Joint articles
Meilin I. Tilukay	Affiliation unknown	1
Lexy Janzen Sinay	Affiliation unknown	1
Sanlly J Latupeirissa	Affiliation unknown	1
Muhammad Sjahid Akbar	Affiliation unknown	1
Dinda Ayu Safira	Affiliation unknown	1
Rahmi Fadhilah	Affiliation unknown	1
Riskianto Riskianto	Affiliation unknown	1
Khem Puthy	Affiliation unknown	1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://ojs3.unpatti.ac.id/index.php/barekeng/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.

Original metadata (oai_dc)

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	<dc:title xml:lang="en-US">COMPARATIVE ANALYSIS OF TWO-STEP AND QUASI MAXIMUM LIKELIHOOD ESTIMATION IN THE DYNAMIC FACTOR MODEL FOR NOWCASTING GDP GROWTH IN INDONESIA</dc:title>
	<dc:creator>Souisa, Gilbert Alvaro</dc:creator>
	<dc:creator>Leiwakabessy, Reyner M.</dc:creator>
	<dc:creator>Damayanti, Salma</dc:creator>
	<dc:creator>Terim, Mohammad Zanuar F</dc:creator>
	<dc:creator>Pelu, Shelma M</dc:creator>
	<dc:description xml:lang="en-US">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.</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2025-01-13</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/15104</dc:identifier>
	<dc:identifier>10.30598/barekengvol19iss1pp655-664</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 19 No 1 (2025): BAREKENG: Journal of Mathematics and Its Application; 655-664</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol19iss1year2025</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/15104/9587</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2025 Gilbert Alvaro Souisa, Reyner M. Leiwakabessy, Salma Damayanti, Mohammad Zanuar F Terim, Shelma M Pelu</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
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