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

Listed author(s):
  • Bušs, Ginters

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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16684.

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Date of creation: 06 Aug 2009
Handle: RePEc:pra:mprapa:16684
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