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 |
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2012
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| Online Access: | https://repo.uum.edu.my/id/eprint/12415/1/document%2819%29.pdf |
| _version_ | 1825803004560801792 |
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| author | Yip, Chee Yin Lim, Hock Eam |
| author_facet | Yip, Chee Yin Lim, Hock Eam |
| author_sort | Yip, Chee Yin |
| collection | UUM |
| description | 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. |
| first_indexed | 2024-07-04T05:49:51Z |
| format | Conference or Workshop Item |
| id | uum-12415 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T05:49:51Z |
| publishDate | 2012 |
| record_format | eprints |
| spelling | uum-124152014-10-23T07:19:07Z https://repo.uum.edu.my/id/eprint/12415/ An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment Yip, Chee Yin Lim, Hock Eam HB Economic Theory QA76 Computer software 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. 2012 Conference or Workshop Item PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/12415/1/document%2819%29.pdf Yip, Chee Yin and Lim, Hock Eam (2012) An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment. In: International Conference on Fundamental and Applied Sciences 2012, 12th to 14th June 2012, Kuala Lumpur, Malaysia. http://dx.doi.org/10.1063/1.4757503 doi:10.1063/1.4757503 doi:10.1063/1.4757503 |
| spellingShingle | HB Economic Theory QA76 Computer software Yip, Chee Yin Lim, Hock Eam An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment |
| title | An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment |
| title_full | An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment |
| title_fullStr | An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment |
| title_full_unstemmed | An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment |
| title_short | An empirical investigation on the forecasting ability of Mallows Model Averaging in a macro economic environment |
| title_sort | empirical investigation on the forecasting ability of mallows model averaging in a macro economic environment |
| topic | HB Economic Theory QA76 Computer software |
| url | https://repo.uum.edu.my/id/eprint/12415/1/document%2819%29.pdf |
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