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
DETERMINANTS OF SAVINGS AND CAPITAL FORMATION AMONG RURAL FARMERS IN ISOKO NORTH LOCAL GOVERNMENT AREA OF DELTA STATE, NIGERIA
This study examined the determinants of savings and capital accumulation in Isoko north local government area of Delta state, Nigeria. It specifically sought to identify the socioeconomic/demographic variables of the rur...
SEASONAL ARIMA MODELLING OF NIGERIAN MONTHLY CRUDE OIL PRICES
The time plot of the series NCOP reveals a peak in 2008 and a depression in early 2009. The overall trend is horizontal and no seasonality is obvious. Twelve-month differencing yields SDNCOP exhibiting still a peak in 20...
ELECTRONIC PAYMENT CHANNELS IN THE NIGERIA BANKING SECTOR AND ITS IMPACTS ON NATIONAL DEVELOPMENT
Electronic payment channels (EPC) are fast growing in Nigeria and are now the order of the day for effecting payments. These methods have brought a lot of convenience to both individual and corporate customers, unlike ma...
VOLATILITY MEAN REVERSION AND STOCK MARKET EFFICIENCY
Traditional econometric models, such as the ordinary least square method, are built on the assumption of constant variance. Financial time series, unlike other economic series, usually exhibit a set of peculiar character...
INFORMAL CAPITAL MARKET AND ENVIRONMENTAL FACTORS IN NIGERIA
Our environments are closely instutionalized with collections of human and material resources for the purpose of economic production and profitability. It was based on this premise that, this study sought to examine the...