Bušs, Ginters (2009): Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach.
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Abstract
This paper contributes to the literature by comparing predictive accuracy of one-period real-time simple seasonal ARIMA forecasts of Latvia's Gross Domestic Product (GDP) as well as by comparing a direct forecast of Latvia's GDP versus three kinds of indirect forecasts. Four main results are as follows. Direct forecast of Latvia's Gross Domestic Product (GDP) seems to yield better precision than an indirect one. AR(1) model tends to give more precise forecasts than the benchmark moving-average models. An extra regular differencing appears to help better forecast Latvia's GDP in an economic downturn. Finally, only AR(1) gives forecasts with better precision compared to a naive Random Walk model.
Item Type: | MPRA Paper |
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Original Title: | Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach |
Language: | English |
Keywords: | real-time forecasting; seasonal ARIMA; Direct versus indirect forecasting; Latvia's GDP |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General |
Item ID: | 16684 |
Depositing User: | Ginters Buss |
Date Deposited: | 10 Aug 2009 09:26 |
Last Modified: | 26 Sep 2019 22:07 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/16684 |
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