Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach

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.

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Year of publication:	2009-08-06
Authors:	Bušs, Ginters
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	real-time forecasting \| seasonal ARIMA \| Direct versus indirect forecasting \| Latvia's GDP

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005034369