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 oneperiod realtime 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 movingaverage 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 

Original Title:  Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach 
Language:  English 
Keywords:  realtime 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  TimeSeries 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.unimuenchen.de/id/eprint/16684 
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