Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/55575
Title: An empirical confirmation of the superior performance of MIDAS over ARIMAX
Authors: Tanaporn Tungtrakul
Natthaphat Kingnetr
Songsak Sriboonchitta
Keywords: Computer Science
Mathematics
Issue Date: 1-Jan-2016
Abstract: © 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.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005976075&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55575
ISSN: 16113349
03029743
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.


Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.