APPLICATION OF GARMA (1, 1; 1, &) MODEL TO GDP IN MALAYSIA: AN ILLUSTRATIVE EXAMPLE

Thulasyammal Ramiah Pillai () and Mahendran Shitan
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Thulasyammal Ramiah Pillai: Laboratory of Computational Statistics and Operations Research, Institute for Mathematical Research, Universiti Putra Malaysia and Faculty of Engineering and Computer Technology, AIMST University, Malaysia
Mahendran Shitan: Laboratory of Computational Statistics and Operations Research, Institute for Mathematical Research, Universiti Putra Malaysia and Department of Mathematics, Faculty of Science, Universiti Putra Malaysia

Journal of Global Business and Economics, 2011, vol. 3, issue 1, 138-145

Abstract: Gross Domestic Product (GDP) per capita is often used as an indicator of standard of living in an economy. GDP per capita observed over the years can be modelled using time series models. A new class of GARMA has been introduced in the time series literature to reveal some hidden features in time series data. In this paper, we illustrate the fitting of GARMA (1, 1; 1,) model to the GDP growth data of Malaysia which has been observed from 1955 to 2009. The estimation of the model was done using Hannan-Rissanen Algorithm.

Keywords: Gross Domestic Product, Time series, GARMA (1, 1; 1, &), Hannan-Rissanen Algorithm (search for similar items in EconPapers)
JEL-codes: M0 (search for similar items in EconPapers)
Date: 2011
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