Prediction of Malaysian Monthly GDP

Pooi Ah Hin, Huei Ching Soo, Pan Wei Yeing

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish
Title of host publicationINNOVATION AND ANALYTICS CONFERENCE AND EXHIBITION (IACE 2015)
Subtitle of host publicationPROCEEDINGS OF THE 2ND INNOVATION AND ANALYTICS CONFERENCE & EXHIBITION
EditorsAdyda Ibrahim, Jafri Zulkepli, Nazrina Aziz, Nazihah Ahmad, Syariza Abdul-Rahman
PublisherAIP Publishing
Number of pages7
ISBN (Print)978-0-7354-1338-2
DOIs
Publication statusPublished - 2015
Event2nd Innovation and Analytics Conference and Exhibition 2015 - Alor Setar, Malaysia
Duration: 29 Sep 20151 Oct 2015

Publication series

NameAIP Conference Proceedings
Publisher AIP Publishing
Volume1691
ISSN (Print)0094-243X

Conference

Conference2nd Innovation and Analytics Conference and Exhibition 2015
Abbreviated titleIACE 2015
CountryMalaysia
CityAlor Setar
Period29/09/151/10/15

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