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

Zameelah Rifkha Khan Jaffur, Noor-Ul-Hacq Sookia, Preethee Nunkoo Gonpot and Boopendra Seetanah

Applied Economics Letters, 2017, vol. 24, issue 15, 1097-1101

Abstract: 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.

Date: 2017
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DOI: 10.1080/13504851.2016.1257208

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