Forecasting Aggregate Demand in West African Economies. The Influence of Immigrant Remittance Flows and of Asymmetric Error Correction

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Forecasting Aggregate Demand in West African Economies. The Influence of Immigrant Remittance Flows and of Asymmetric Error Correction

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Jumah, Adusei (Department of Economics and Finance, Institute for Advanced Studies and Department of Economics, University of Vienna)
Kunst, Robert M. (Department of Economics and Finance, Institute for Advanced Studies and Department of Economics, University of Vienna)

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Abstract

In a panel of West African countries, we investigate whether data on immigrant remittance flows can be used to improve on predictive accuracy of aggregate demand in a systematic way. The results of the prediction experiments are compared to traditional significance tests of asymmetric error correction and of the exogenous remittance variable. We find that there is a considerable discrepancy between statistical hypothesis testing and the results from the forecast comparison. In particular, while remittances yield significant coefficients for at least some of the accounts aggregates, they do not contribute to improved forecasting accuracy.

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Paper provided by Institute for Advanced Studies in its series Economics Series with number 168.

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Length: 20 pages
Date of creation: Feb 2005
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Handle: RePEc:ihs:ihsesp:168

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Find related papers by JEL classification:
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
O55 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Africa

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Jumah, Adusei & Kunst, Robert M., 2004. "Modeling National Accounts Sub-Aggregates. An Application of Non-Linear Error Correction," Economics Series 149, Institute for Advanced Studies. [Downloadable!]
Amuedo-Dorantes, Catalina & Pozo, Susan, 2004. "Workers' Remittances and the Real Exchange Rate: A Paradox of Gifts," World Development, Elsevier, vol. 32(8), pages 1407-1417, August. [Downloadable!] (restricted)
Kunst, Robert & Neusser, Klaus, 1990. "Cointegration in a Macroeconomic System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 351-65, Oct.-Dec.. [Downloadable!] (restricted)
Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, December.
Ralph Chami & Samir Jahjah & Connel Fullenkamp, 2003. "Are Immigrant Remittance Flows a Source of Capital for Development," IMF Working Papers 03/189, International Monetary Fund. [Downloadable!]

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