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Forecasting GDP Growth: Application of Autoregressive Integrated Moving Average Model

Author

Listed:
  • Awel, Yesuf M.

    (PhD, Economist-Consultant; P.O Box 101182, Addis Ababa, Ethiopia)

Abstract

This paper uses Box-Jenkins approach to model and forecast real GDP growth in Ethiopia. Such an approach could easily provide forecast for key macroeconomic variables in limited data environment. Based on the approach, the paper estimates Autoregressive Integrated Moving Average ARIMA (1,1,1) model and forecasts real GDP growth. Both the in-sample fit and pseudo-out of sample forecasts show that the ARIMA model’s performance are good and better than other forecasts.

Suggested Citation

  • Awel, Yesuf M., 2018. "Forecasting GDP Growth: Application of Autoregressive Integrated Moving Average Model," Empirical Economic Review, Department of Economics and Statistics, Dr Hassan Murad School of Management, University of Management and Technology, Lahore, vol. 1(2), pages 1-16.
    • Handle: RePEc:ris:empecr:0006
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    File URL: https://ojs.umt.edu.pk/index.php/eer/article/view/155/63
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    More about this item

    Keywords

    ARIMA; Box-Jenkins Approach; Ethiopia; Forecasting; Real GDP;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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