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How informative are in-sample information criteria to forecasting? The case of Chilean GDP

Carlos A. Medel ()

Latin American Journal of Economics-formerly Cuadernos de Economía, 2013, vol. 50, issue 1, 133-161

Abstract: This paper compares out-of-sample performance, using the Chilean GDP dataset, of a large number of autoregressive integrated moving average (ARIMA) models with some variations to identify how to achieve the smallest root mean squared forecast error with models based on information criteria--Akaike, Schwarz, and Hannan-Quinn. The analysis also addresses the role of seasonal adjustment and the Easter effect. The results show that Akaike and Schwarz are better criteria for forecasting when using actual series and Schwarz and Hannan-Quinn are better with seasonally adjusted data. Accounting for the Easter effect improves forecast accuracy for actual and seasonally adjusted data.

Keywords: Data mining; forecasting; ARIMA; seasonal adjustment; Easter effect (search for similar items in EconPapers)
JEL-codes: C13 C22 C52 C53 (search for similar items in EconPapers)
Date: 2013
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Related works:
Working Paper: How Informative are In–Sample Information Criteria to Forecasting? The Case of Chilean GDP (2012) Downloads
Working Paper: How informative are in-sample information criteria to forecasting? the case of Chilean GDP (2012) Downloads
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Latin American Journal of Economics-formerly Cuadernos de Economía is currently edited by Raimundo Soto

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