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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...

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Main Authors: Yip, Chee Yin, Lim, Hock Eam
Format: Conference or Workshop Item
Language:English
Published: 2012
Subjects:
HB Economic Theory
QA76 Computer software
Online Access:http://repo.uum.edu.my/12415/1/document%2819%29.pdf
http://repo.uum.edu.my/12415/
http://dx.doi.org/10.1063/1.4757503
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spelling my.uum.repo.124152014-10-23T07:19:07Z http://repo.uum.edu.my/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 http://repo.uum.edu.my/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
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HB Economic Theory
QA76 Computer software
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
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.
format Conference or Workshop Item
author Yip, Chee Yin
Lim, Hock Eam
author_facet Yip, Chee Yin
Lim, Hock Eam
author_sort Yip, Chee Yin
title 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_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_sort empirical investigation on the forecasting ability of mallows model averaging in a macro economic environment
publishDate 2012
url http://repo.uum.edu.my/12415/1/document%2819%29.pdf
http://repo.uum.edu.my/12415/
http://dx.doi.org/10.1063/1.4757503
_version_ 1644280906865704960
score 13.209306

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