Crunching the Numbers: A Comparison of Econometric Models for GDP Forecasting in Madagascar

Andrianady, Josué R. (2023): Crunching the Numbers: A Comparison of Econometric Models for GDP Forecasting in Madagascar.

Abstract

In this study, we evaluate the effectiveness of three popular econometric models ARIMA, MIDAS, and VAR for forecasting quarterly GDP in Madagascar. Our analysis reveals that ARIMA provides the most accurate forecasts among the three models, indicating its superiority in predicting the country’s economic performance. However, we also argue that combining multiple models can offer additional benefits for forecasting accuracy and robustness. By leveraging the strengths of each model, such an approach can provide more reliable forecasts and reduce the risk of errors and biases associated with using a single model. Our findings have important implications for policymakers, economists, and investors who rely on GDP forecasts to make informed decisions about economic policies and investments in Madagascar.

• Item Type: MPRA Paper
• Language: English
• Keywords: GDP, Madagascar, Quarterly data, Forecasting, Arima, Var, Midas.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation: Models and Applications; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications

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