SLIIT International Conference on Advancements in Sciences and Humanities [SICASH] 2023

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Start date: 2023Subject: search.filters.subject.ARIMA

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    PublicationOpen Access
    Model Comparison to Forecast Gross Domestic Product (GDP) in China
    (Faculty of Humanities and Sciences, SLIIT, 2023-11-01) Koswaththa, N.B.K.S.M.; Gaganathara, G.A.G.D.; Fernando, A.S.M.S; Dissanayake, M.D.T.G.; Guruge, M. L.
    Gross Domestic Product (GDP) is an accurate indicator to measure the size of the economic performance of a country and its growth rate. This study focuses on finding a suitable model to forecast GDP in China, which is one of the world’s largest and most rapidly developing economies. A simple linear regression model with AR(1) error structure and Autoregressive Integrated Moving Average (ARIMA) model were developed and compared for the purpose. A secondary data set which includes GDP in China from 1952 to 2020 was used for this study and the sample size was 69. Residual diagnostics tests were conducted to check the assumptions and model adequacy of each model. It was found that out of the fitted models, ARIMA (1,1,1) is the most appropriate model to forecast GDP in China as it gave lower MAE and RMSE compared to fitted simple linear regression model with AR(1) error structure. Model comparison was done using Mean Absolute Error (MAE) and Root Mean Squared Error (RMSE). The predicted values for 2023, 2024 and 2025 are 1436349, 1447149 and 1457950 respectively. E-views 8.0 and Minitab software were used to analyze the data.
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    PublicationOpen Access
    Forecasting Consumer Price Index in the United States
    (Faculty of Humanities and Sciences, SLIIT, 2023-11-01) Witharana, W. W. S. K; Udugama, U. K. D. T. N.; Fernando, P. M. R.,; Kaumadi, H. M. H.; Peiris, T. S. G.
    This report presents the Auto-Regressive Integrated Moving Average (ARIMA) model for forecasting the consumer price index (CPI) in US using monthly data from March 2010 to March 2023. The original series was not stationary, but the first difference series was found to be stationary using the Augmented Dicky Fuller test. The best-fitted model was identified based on the significance of the parameters, volatility (sigma2), log-likelihood, Akaike, Schwartz, and Hannan- Quinn information criterion. Parameters of the fitted model are significantly deviated from zero. The stability of the model has been checked using the roots of the unit root test. Residuals of the fitted model satisfied the randomness but nonconstant variance. The monthly forecasted values of CPI from April 2023 to August 2023 are 301.833, 302.444, 303.038, 303.639, and 304.261. The percentage errors of the forecasted values are less than one percent. This method and results provide useful information to policy and market makers for their planning,