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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
decision sciences
On the appropriate transformation technique and model selection in forecasting economic time series: An application to botswana GDP data
Journal of Modern Applied Statistical Methods, Volume 9, No. 1, Year 2010
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Description
Selected data transformation techniques in time series modeling are evaluated using real-life data on Botswana Gross Domestic Product (GDP). The transformation techniques considered were modified, although reasonable estimates of the original with no significant difference at α = 0.05 level were obtained: minimizing square of first difference (MFD) and minimizing square of second difference (MSD) provided the best transformation for GDP, whereas the Goldstein and Khan (GKM) method had a deficiency of losing data points. The Box-Jenkins procedure was adapted to fit suitable ARIMA (p, d, q) models to both the original and transformed series, with AIC and SIC as model order criteria. ARIMA (3, 1, 0) and ARIMA (1, 0, 0) were identified, respectively, to the original and log of the transformed series. All estimates of the fitted stationary series were significant and provided a reliable forecast. © 2010 JMASM, Inc.
Authors & Co-Authors
Shangodoyin, Dahud Kehinde
Botswana, Gaborone
University of Botswana
Setlhare, K.
Botswana, Gaborone
University of Botswana
Moseki, K. K.
Botswana, Gaborone
University of Botswana
Sediakgotla, K.
Botswana, Gaborone
University of Botswana
Statistics
Citations: 4
Authors: 4
Affiliations: 1
Identifiers
Doi:
10.22237/jmasm/1272688020
ISSN:
15389472
Study Locations
Botswana