An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment
This paper investigates the forecasting ability of Mallows Model Averaging (MMA) by conducting an empirical analysis of five Asia countries, Malaysia, Thailand, Philippines, Indonesia and China's GDP growth rate.Results reveal that MMA has no noticeable differences in predictive ability compare...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/12415/1/document%2819%29.pdf |
| Summary: | This paper investigates the forecasting ability of Mallows Model Averaging (MMA) by conducting an empirical analysis of five Asia countries, Malaysia, Thailand, Philippines, Indonesia and China's GDP growth rate.Results reveal that MMA has no noticeable differences in predictive ability compared to the general autoregressive fractional integrated moving average model(ARFIMA) and its predictive ability is sensitive to the effect of financial crisis. MMA could be an alternative forecasting method for samples without recent outliers such as financial crisis. |
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