TITLE:
An Econometric Time Series GDP Model Analysis: Statistical Evidences and Investigations
AUTHORS:
Habib Ahmed Elsayir
KEYWORDS:
ARIMA Model, GDP, Box-Jenkins Models, Stationary Time Series
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.6 No.12,
December
27,
2018
ABSTRACT: This article aims to provide an
analysis for a time series data of gross domestic product (GDP) of the Sudan. An econometric time
series model with macroeconomic variables is conducted. Since a non-stationary
time series must be made stationary, some statistical tests are followed so
that the time series become stationary series. After applying these tests, the
time series became stationary and integrated of order I. Box-Jenkins procedure
is used to determine ARMA. OLS is used to estimate the models parameters.
Performances chosen ARIMA model are verified on the basis of classical
statistical tests and forecasting. The model features are interpreted on the
basis of standard measures of forecasting performance.