Forecasting the UK Unemployment Rate: Model Comparisons
International Journal of Applied Econometrics and Quantitative Studies, 2005, vol. 2, issue 4, 57-72
This paper compares the out-of-sample forecasting accuracy of time series models using the Root Mean Square, Mean Absolute and Mean Absolute Percent Errors. We evaluate the performance of the competing models covering the period January 1971 to December 2002. The forecasting sample (January 1996 – December 2002) is divided into four sub-periods. First, for total forecasting sample, we find that MA(4)-ARCH(1) provides superior forecasts of unemployment rate. On the other hand, two forecasting samples show that the MA(4) model performs well, while both MA(1) and AR(4) prove to be the best forecasting models for the other two forecasting periods. The empirical evidence derived from our investigation suggests a close relationship between forecasting theory and labour market conditions. Our findings bring forecasting methods nearer to the realities of UK labour market.
Keywords: UK; Unemployment; Forecasting; AR; MA; GARCH (search for similar items in EconPapers)
JEL-codes: C53 E27 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eaa:ijaeqs:v:2:y2005:i:4_4
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in International Journal of Applied Econometrics and Quantitative Studies from Euro-American Association of Economic Development
Bibliographic data for series maintained by M. Carmen Guisan ().