Unemployment Rate Forecasts: Evidence from the Baltic States

Barbara Będowska-Sójka

Abstract

This paper compares forecasts of unemployment rates in the Baltic states using time-varying parameter models. We are particularly interested in dynamic asymmetries in the unemployment rates and the forecasting performance of different models at different times. We consider each predictor in the time-varying model as either stochastic or deterministic and use a rolling short-term forecast experiment as an out-of-sample test of forecast accuracy. The time span of our data from 2001 to 2014 includes the global financial crisis. We find that the forecasting ability of the models depends on both the forecasting horizon and the moment in time when the forecasts are done. The empirical evidence derived from our investigation suggests that no single model is the best one, but models that include a cyclical component tend to perform better than others. Our findings show that the preferred models differ in the time of increase or decrease in unemployment rates.
Author Barbara Będowska-Sójka (WIiGE / KE)
Barbara Będowska-Sójka,,
- Department of Econometrics
Journal seriesEastern European Economics, ISSN 0012-8775, (A 15 pkt)
Issue year2015
Vol53
No1
Pages57-67
Publication size in sheets0.5
Keywords in Englishforecasting performance; structural time series models; unemployment rate
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1080/00128775.2015.1033236
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 18-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 18-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2015 = 0.527; WoS Impact Factor: 2015 = 0.404 (2) - 2015=0.496 (5)
Citation count*4 (2020-06-13)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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