Munich Personal RePEc Archive

Comparing Econometric Models for Forecasting GDP in Madagascar

Andrianady, Josué R. (2023): Comparing Econometric Models for Forecasting GDP in Madagascar.

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In this study, we compare the performance of three econometric models ARIMA, VAR, and MIDAS for forecasting the GDP of Madagascar using quarterly data from INSTAT. Our analysis is based on three evaluation metrics : mean absolute error (MAE), mean absolute percentage error (MAPE), and root mean square error (RMSE). Our results indicate that the ARIMA model outperforms the other two models in terms of forecasting accuracy. However, the VAR and MIDAS models also demonstrate competitive performance in certain aspects, highlighting their usefulness in capturing the underlying dynamics of the GDP data.

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