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Out-of-sample forecasting of the Canadian unemployment rates using univariate models

This article investigates the out-of-sample forecasting performance of some linear and nonlinear univariate time series models on the monthly seasonally adjusted Canadian unemployment rates during the 1980-2013 period. The findings reveal that nonlinear time series models better capture the asymmetr...

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Bibliographic Details
Published in:Applied economics letters 2017-09, Vol.24 (15), p.1097-1101
Main Authors: Khan Jaffur, Zameelah Rifkha, Sookia, Noor-Ul-Hacq, Nunkoo Gonpot, Preethee, Seetanah, Boopendra
Format: Article
Language:English
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Summary:This article investigates the out-of-sample forecasting performance of some linear and nonlinear univariate time series models on the monthly seasonally adjusted Canadian unemployment rates during the 1980-2013 period. The findings reveal that nonlinear time series models better capture the asymmetry present in the unemployment rate series at short and long forecast horizons.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2016.1257208