An empirical confirmation of the superior performance of MIDAS over ARIMAX
© Springer International Publishing AG 2016. A new model (MIDAS) for forecasting economic data has been proposed recently to take into account of more relevant information than the ARIMAX model. However, in order to convince econometricians to use MIDAS instead of ARIMAX, at least some evidence from...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book Series |
| Published: |
2017
|
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005976075&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42364 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |
| id |
th-cmuir.6653943832-42364 |
|---|---|
| record_format |
dspace |
| spelling |
th-cmuir.6653943832-423642017-09-28T04:26:38Z An empirical confirmation of the superior performance of MIDAS over ARIMAX Tungtrakul T. Kingnetr N. Sriboonchitta S. © Springer International Publishing AG 2016. A new model (MIDAS) for forecasting economic data has been proposed recently to take into account of more relevant information than the ARIMAX model. However, in order to convince econometricians to use MIDAS instead of ARIMAX, at least some evidence from empirical studies is needed, to indicate that the forecast performance of MIDAS is superior than that of ARIMAX. Our present work precisely aims at filling this need. In doing so, we also investigate a practical problem: Forecasting export growth in Thailand. Our empirical findings confirm that the MIDAS regression model significantly improves the forecast accuracy when compared with the ARIMAX model. 2017-09-28T04:26:38Z 2017-09-28T04:26:38Z 2016-01-01 Book Series 03029743 2-s2.0-85005976075 10.1007/978-3-319-49046-5_51 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005976075&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42364 |
| institution |
Chiang Mai University |
| building |
Chiang Mai University Library |
| country |
Thailand |
| collection |
CMU Intellectual Repository |
| description |
© Springer International Publishing AG 2016. A new model (MIDAS) for forecasting economic data has been proposed recently to take into account of more relevant information than the ARIMAX model. However, in order to convince econometricians to use MIDAS instead of ARIMAX, at least some evidence from empirical studies is needed, to indicate that the forecast performance of MIDAS is superior than that of ARIMAX. Our present work precisely aims at filling this need. In doing so, we also investigate a practical problem: Forecasting export growth in Thailand. Our empirical findings confirm that the MIDAS regression model significantly improves the forecast accuracy when compared with the ARIMAX model. |
| format |
Book Series |
| author |
Tungtrakul T. Kingnetr N. Sriboonchitta S. |
| spellingShingle |
Tungtrakul T. Kingnetr N. Sriboonchitta S. An empirical confirmation of the superior performance of MIDAS over ARIMAX |
| author_facet |
Tungtrakul T. Kingnetr N. Sriboonchitta S. |
| author_sort |
Tungtrakul T. |
| title |
An empirical confirmation of the superior performance of MIDAS over ARIMAX |
| title_short |
An empirical confirmation of the superior performance of MIDAS over ARIMAX |
| title_full |
An empirical confirmation of the superior performance of MIDAS over ARIMAX |
| title_fullStr |
An empirical confirmation of the superior performance of MIDAS over ARIMAX |
| title_full_unstemmed |
An empirical confirmation of the superior performance of MIDAS over ARIMAX |
| title_sort |
empirical confirmation of the superior performance of midas over arimax |
| publishDate |
2017 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005976075&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42364 |
| _version_ |
1681422175444140032 |