Out-of-sample forecasting of the Canadian unemployment rates using univariate models. Issue 15 (2nd September 2017)

• Record Type: Journal Article
• Authors: Khan Jaffur, Zameelah Rifkha; Sookia, Noor-Ul-Hacq; Nunkoo Gonpot, Preethee; Seetanah, Boopendra
• Is Part Of: Applied economics letters. Volume 24:Issue 15(2017)
• Page Start: 1097
• Page End: 1101
• Publication Date: 2017-09-02
• Subjects: Canada -- unemployment rates -- forecasting -- ARMA models -- GARCH models; C53 -- J64; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2016.1257208
• Languages: English
• ISSNs: 1350-4851

Abstract

ABSTRACT: This article investigates the out-of-sample forecasting performance of some linear and nonlinear univariate time series models on the monthly seasonally adjusted Canadian unemployment rates during the 1980–2013 period. The findings reveal that nonlinear time series models better capture the asymmetry present in the unemployment rate series at short and long forecast horizons.