### Abstract

The paper attempts to use a method based on multivariate power-normal distribution to predict the Malaysian Gross Domestic Product next month. Letting r(t) be the vector consisting of the month-t values on m selected macroeconomic variables, and GDP, we model the month-(t+1) GDP to be dependent on the present and l-1 past values r(t), r(t−1),…,r(t−l+1) via a conditional distribution which is derived from a [(m+1)l+1]-dimensional power-normal distribution. The 100(α/2)% and 100(1-α/2)% points of the conditional distribution may be used to form an out-of sample prediction interval. This interval together with the mean of the conditional distribution may be used to predict the month-(t+1) GDP. The mean absolute percentage error (MAPE), estimated coverage probability and average length of the prediction interval are used as the criterions for selecting the suitable lag value l−1 and the subset from a pool of 17 macroeconomic variables. It is found that the relatively better models would be those of which 2 ≤ l ≤ 3, and involving one or two of the macroeconomic variables given by Market Indicative Yield, Oil Prices, Exchange Rate and Import Trade.

Original language | English |
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Title of host publication | INNOVATION AND ANALYTICS CONFERENCE AND EXHIBITION (IACE 2015) |

Subtitle of host publication | PROCEEDINGS OF THE 2ND INNOVATION AND ANALYTICS CONFERENCE & EXHIBITION |

Editors | Adyda Ibrahim, Jafri Zulkepli, Nazrina Aziz, Nazihah Ahmad, Syariza Abdul-Rahman |

Publisher | AIP Publishing |

Number of pages | 7 |

ISBN (Print) | 978-0-7354-1338-2 |

DOIs | |

Publication status | Published - 2015 |

Event | 2nd Innovation and Analytics Conference and Exhibition 2015 - Alor Setar, Malaysia Duration: 29 Sep 2015 → 1 Oct 2015 |

### Publication series

Name | AIP Conference Proceedings |
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Publisher | AIP Publishing |

Volume | 1691 |

ISSN (Print) | 0094-243X |

### Conference

Conference | 2nd Innovation and Analytics Conference and Exhibition 2015 |
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Abbreviated title | IACE 2015 |

Country | Malaysia |

City | Alor Setar |

Period | 29/09/15 → 1/10/15 |

### Keywords

- EURO AREA

## Cite this

Hin, P. A., Soo, H. C., & Yeing, P. W. (2015). Prediction of Malaysian Monthly GDP. In A. Ibrahim, J. Zulkepli, N. Aziz, N. Ahmad, & S. Abdul-Rahman (Eds.),

*INNOVATION AND ANALYTICS CONFERENCE AND EXHIBITION (IACE 2015): PROCEEDINGS OF THE 2ND INNOVATION AND ANALYTICS CONFERENCE & EXHIBITION*[050020] (AIP Conference Proceedings; Vol. 1691). AIP Publishing. https://doi.org/10.1063/1.4937102