EVALUATION OF MACROECONOMIC DYNAMICS USING GENERALIZED MODIFIED PRINCIPAL COMPONENTS ANALYSIS

We propose a composite indicator of social and economic development alternative to GDP. It is based on the means of generalized modified principal component analysis (GMPCA) applied to temporal structure of various indicators of national social and economic activities. The weights of subindices that reflect various aspects macroeconomic pattern and constitute the aggregate indicator are generated in an automatic mode by GMPCA. This approach doesn't require any expert assessments, so it is a kind of objective estimation the determinants of social and economic development. The proposed methodology is applied to evaluation of the overall performance of Russian economy using global competitiveness indicators for the period from 2007 to 2017. It allows to reveal the factors which affect macrodynamics and consolidate them into the groups with positive or negative impact. The obtained composite indicator reveals cyclical fluctuations along the trend of economic development. The decomposition of the aggregate indicator shows the structural shifts in the Russian macroeconomic performance in the past decade.