We bring together some recent advances in the literature on vector autoregressive moving - average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

Using the Box-Jenkins approach to forecast inflation in the small open economy, we find that ARIMA can partly show dynamics of the country's CPI. Remarkably, the index in the present month suffers much the inertia of the previous month's and corrects substantially compared to that of 3 months ago

This study is a master thesis for a master's program in Economics and Finance in the Department of Economics and Political Sciences at the University of Skövde. As the title indicates, the aim of the thesis is to use ARIMA and VAR models to predict inflation in Ghana. In order to fulfil this...

In developing countries with an unstable economic system, permanent fluctuation in historical data is always a concern. Recognizing dependency and independency of variables are vague and proceeding a reliable forecast model is more complex than other countries. Although linearization of...

Estimating the exchange rate is considered a key tool for economic planning and reaching economic stability. This study aims to reach the best model for predicting exchange rates of Iraqi Dinar against the U.S. dollar in the period (2008-2017). For this purpose the following methods have been...

Even with the presence of numerous institutional players in the market, there exist a noticeable number of cash group shares which are hardly transacted. To sustain the growth of investors in the market, there is need for assuring easy and quick liquidity to the securities. To serve the same...

This paper sheds light on the questions whether it is possible to generate an accurate forecast of the real price of oil and how it can be improved using forecast combinations. For this reason, my work will investigate the out-of-sample performance of thirteen individual forecasting models. The...

This study aims to develop a stochastic framework of model to forecast future sales for pharmaceutical industry. In this regard, the study focuses on Merck Pharmaceutical monthly sales data. This study examines the Sale forecasting models. The study includes monthly data published in the annual...

Purpose – The purpose of this study is to establish a seasonal autoregressive integrated moving average model able to capture and explain the patterns and the determinants of German tourism demand in Croatia.Design – The present study is based on the Box-Jenkins approach in building a...