The Forecasting Performance of Seasonal and Nonlinear Models
Journal Title: Asian Economic and Financial Review - Year 2011, Vol 1, Issue 1
Abstract
In this paper, we compare the forecasting performance of seasonal and nonlinear autoregressive models in terms of point, interval, and densityforecasts for the growth rates of the Tunisian industrial production, for theperiod 1976:1- 2006:2. Our results suggest that the point forecastsgenerated by the linear models perform better than those provided by thenonlinear models at all horizons. By contrast, the analysis of interval anddensity forecasts at horizons of one and three quarters provide an evidentsupport for the nonlinear models, this result is in line with the literature.Thus, our findings assess the usefulness of nonlinear models to investigatethe dynamic behavior of economic systems and to produce accurateforecasts.
Authors and Affiliations
Houda Ben Hadj Boubaker| The Higher Institute of Management of Tunisia, Tunisia
Keywords
Related Articles
- EP ID EP1685
- DOI -
- Views 1001
- Downloads 74
THE MEASUREMENT OF THE RELATIONSHIP BETWEEN TAIWAN’S BOND FUNDS’ NET FLOW AND THE INVESTMENT RISK –THRESHOLD AUTOREGRESSIVE MODEL
This article applies the threshold autoregressive model to investigate the relationship between bond funds? net flow and investment risk in Taiwan. Our empirical findings show that bond funds’ investors are concerned abo...
Energy Consumption and Economic Growth: A Disaggregate Approach
This paper attempts to examine the long run as well as short run relationship between Pakistan’s real GDP and energy consumption at sectoral level. The analysis is based on the time series data from 1977 to 2010. We esti...
CORPORATE INVESTMENT AND CASH-FLOW SENSITIVITY: EVIDENCE FROM A JASMIN REVOLUTION PERIOD IN TUNISIAN MARKET
This study investigates the impact of financial constraints on investment decisions and corporate cash holding of Tunisian firms over the period of 2003-2013. We will investigate this task in a particular context which i...
FINANCIAL SECTOR DEVELOPMENT AND POVERTY REDUCTION IN NIGERIA: A VECTOR AUTOREGRESSION ANALYSIS (1980-2010)
This study examines the nexus between financial sector development and poverty reduction in Nigeria using Vector autoregressive (VAR) model. The choice of the study has been motivated by the alleged failure of the financ...
USAGE OF DERIVATIVES IN EMERGING MARKETS: THE CASE OF BOSNIA AND HERZEGOVINA
During the last decade, financial derivatives have gained increased attention; they were one of the leading causes of the latest financial crisis. Their primary purpose is to provide instruments for hedging risks linked...